Porcine reproductive and respiratory syndrome virus (PRRSV) affects the global swine industry and causes disastrous economic losses each year. The genome of PRRSV is an enveloped single-stranded positive-sense RNA of approximately 15 kb. The PRRSV replicates primarily in alveolar macrophages of pig lungs and lymphatic organs and causes reproductive problems in sows and respiratory symptoms in piglets. To date, studies on how PRRSV survives in the host, the host immune response against viral infections, and pathogenesis, have been reported. PRRSV vaccines have been developed, including inactive virus, modified live virus, attenuated live vaccine, DNA vaccine, and immune adjuvant vaccines. However, there are certain problems with the durability and effectiveness of the licensed vaccines. Moreover, the high variability and fast-evolving populations of this RNA virus challenge the design of PRRSV vaccines, and thus effective vaccines against PRRSV have not been developed successfully. As is well known, viruses interact with the host to escape the host’s immune response and then replicate and propagate in the host, which is the key to virus survival. Here, we review the complex network and the mechanism of PRRSV–host interactions in the processes of virus infection. It is critical to develop novel antiviral strategies against PRRSV by studying these host–virus interactions and structures to better understand the molecular mechanisms of PRRSV immune escape.