During the anti-tumour response to breast cancer, the primary tumour, the peripheral blood, and the lymph nodes each play unique roles. Immunological features at each site reveal evidence of continuous immune cross-talk between them before, during and after treatment. As such, immune responses to breast cancer are found to be highly dynamic and truly systemic, integrating three distinct immune sites, complex cell-migration highways, as well as the temporal dimension of disease progression and treatment. In this review, we provide a connective summary of the dynamic immune environment triad of breast cancer. It is critical that future studies seek to establish dynamic immune profiles, constituting multiple sites, that capture the systemic immune response to breast cancer and define patient-selection parameters resulting in more significant overall responses and survival rates for breast cancer patients.