Glioblastoma multiforme (GBM) is the most aggressive primary central nervous system (CNS) tumor, and treatment for GBM is regarded as the most challenging task in clinical oncology. Although multiple treatments are available, including surgery, chemotherapy, and radiotherapy, these conventional therapies barely improve the functional prognosis and life quality of patients with glioblastoma. Immunotherapy, has become a promising approach for treating GBM because of the ability to overcome the blood-brain barrier (BBB) and complicated unique tumor immune microenvironment. Developing an efficient immunotherapy for GBM requires understanding the glioblastoma immune microenvironment; accordingly, this study begins by summarizing this and what it indicates for the development of immunological effects. Then current immunotherapy management for GBM and advanced studies including checkpoint inhibitors, cell vaccines, and extracellular vesicle-based immunotherapy is reviewed. Because monotherapies are inadequate for treating GBM, combinational GBM immunotherapy with other classical cancer therapies, especially chemo-immunotherapy, radiotherapy-immunotherapy, and the combination of gene therapy and immunotherapy, is introduced and discussed. The recent progress introduced in this review suggests that cancer immunotherapy and its combinatory therapies are highly promising treatment modalities for glioblastoma patients. However, systematical and in-depth investigations are required to improve the efficacy of GBM immunotherapy for future clinical translation.