About 70% of bladder cancers (BCs) are diagnosed as non-muscle-invasive BCs (NMIBCs), while the remaining are muscle-invasive BCs (MIBCs). The European Association of Urology (EAU) guidelines stratify NMIBCs into low, intermediate, and high risk for treatment options. Low-risk NMIBCs undergo only the transurethral resection of the bladder (TURB), whereas for intermediate-risk and high-risk NMIBCs, the transurethral resection of the bladder (TURB) with or without Bacillus Calmette-Guérin (BCG) immune or chemotherapy is the standard treatment. A minority of NMIBCs show unfavorable prognosis. High-risk NMIBCs have a high rate of disease recurrence and/or progression to muscle-invasive tumor and BCG treatment failure. The heterogeneous nature of NMIBCs poses challenges for clinical decision-making. In 2020, the EAU made some changes to NMIBCs BCG failure definitions and treatment options, highlighting the need for reliable molecular markers for improving the predictive accuracy of currently available risk tables. Nowadays, next-generation sequencing (NGS) has revolutionized the study of cancer biology, providing diagnostic, prognostic, and therapy response biomarkers in support of precision medicine. Integration of NGS with other cutting-edge technologies might help to decipher also bladder tumor surrounding aspects such as immune system, stromal component, microbiome, and urobiome; altogether, this might impact the clinical outcomes of NMBICs especially in the BCG responsiveness. This review focuses on NMIBCs with unfavorable prognoses, providing molecular prognostic factors from tumor immune and stromal cells, and the perspective of urobiome and microbiome profiling on therapy response. We provide information on the cornerstone of immunotherapy and new promising bladder-preserving treatments and ongoing clinical trials for BCG-unresponsive NMIBCs.