Bladder cancer (BC) is the most common malignancy of the genitourinary tract, with high morbidity and mortality rates. Until recently, the treatment of locally advanced or metastatic urothelial BC was based on the use of chemotherapy alone. Since 2016, five immune checkpoint inhibitors (ICIs) have been approved by the Food and Drug Administration (FDA) in different settings, i.e., first-line, maintenance and second-line treatment, while several trials are still ongoing in the perioperative context. Lately, pembrolizumab, a programmed death-1 (PD-1) inhibitor, has been approved for Bacillus Calmette–Guérin (BCG)-unresponsive high-risk non-muscle invasive bladder cancer (NMIBC), using immunotherapy at an early stage of the disease. This review investigates the current state and future perspectives of immunotherapy in BC, focusing on the rationale and results of combining immunotherapy with other therapeutic strategies.