In the last 10 years, many new therapeutic options have been approved in advanced prostate cancer (PCa) patients, granting a more prolonged survival in patients with metastatic disease, which, nevertheless, remains incurable. The emphasis on immune checkpoint inhibitors (ICIs) has led to many trials in this setting, with disappointing results until now. Therefore, we discuss the immunobiology of PCa, presenting ongoing trials and the available clinical data, to understand if immunotherapy could represent a valid option in this disease, and which subset of patients may be more likely to benefit. Current evidence suggests that the tumor microenvironment needs a qualitative rather than quantitative evaluation, along with the genomic determinants of prostate tumor cells. The prognostic or predictive value of immunotherapy biomarkers, such as PD-L1, TMB, or dMMR/MSI-high, needs further evaluation in PCa. Monotherapy with immune checkpoint inhibitors (ICIs) has been modestly effective. In contrast, combined strategies with other standard treatments (hormonal agents, chemotherapy, PARP inhibitors, radium-223, and TKIs) have shown some results. Immunotherapy should be better investigated in biomarker-selected patients, particularly with specific pathway aberrations (e.g., AR-V7 variant, HRD, CDK12 inactivated tumors, MSI-high tumors). Lastly, we present new possible targets in PCa that could potentially modulate the tumor microenvironment and improve antitumor activity with ICIs.