Mycoplasma hyopneumoniae (M. hyopneumoniae) is one of the primary agents involved in the porcine respiratory disease complex, economically one of the most important diseases in pigs worldwide. The pathogen adheres to the ciliated epithelium of the trachea, bronchi, and bronchioles, causes damage to the mucosal clearance system, modulates the immune system and renders the animal more susceptible to other respiratory infections. The pathogenesis is very complex and not yet fully understood. Cell-mediated and likely also mucosal humoral responses are considered important for protection, although infected animals are not able to rapidly clear the pathogen from the respiratory tract. Vaccination is frequently practiced worldwide to control M. hyopneumoniae infections and the associated performance losses, animal welfare issues, and treatment costs. Commercial vaccines are mostly bacterins that are administered intramuscularly. However, the commercial vaccines provide only partial protection, they do not prevent infection and have a limited effect on transmission. Therefore, there is a need for novel vaccines that confer a better protection. The present paper gives a short overview of the pathogenesis and immune responses following M. hyopneumoniae infection, outlines the major limitations of the commercial vaccines and reviews the different experimental M. hyopneumoniae vaccines that have been developed and tested in mice and pigs. Most experimental subunit, DNA and vector vaccines are based on the P97 adhesin or other factors that are important for pathogen survival and pathogenesis. Other studies focused on bacterins combined with novel adjuvants. Very few efforts have been directed towards the development of attenuated vaccines, although such vaccines may have great potential. As cell-mediated and likely also humoral mucosal responses are important for protection, new vaccines should aim to target these arms of the immune response. The selection of proper antigens, administration route and type of adjuvant and carrier molecule is essential for success. Also practical aspects, such as cost of the vaccine, ease of production, transport and administration, and possible combination with vaccines against other porcine pathogens, are important. Possible avenues for further research to develop better vaccines and to achieve a more sustainable control of M. hyopneumoniae infections are discussed.