With the mechanistic understanding of immune checkpoints and success in checkpoint blockade using antibodies for the treatment of certain cancers, immunotherapy has become one of the hottest areas in cancer research, with promise of long‐lasting therapeutic effect. Currently, however, only a proportion of cancers have a good response to checkpoint inhibition immunotherapy. Better understanding of the cancer response and resistance mechanisms is essential to fully explore the potential of immunotherapy to cure the majority of cancers. Bladder cancer, one of the most common and aggressive malignant diseases, has been successfully treated both at early and advanced stages by different immunotherapeutic approaches, bacillus Calmette–Guérin (BCG) intravesical instillation and anti‐PD‐1/PD‐L1 immune checkpoint blockade, respectively. Therefore, it provides a good model to investigate cancer immune response mechanisms and to improve the efficiency of immunotherapy. Here, we review bladder cancer immunotherapy with equal weight on BCG and anti‐PD‐1/PD‐L1 therapies and demonstrate why and how bladder cancer can be used as a model to study the predictors and mechanisms of cancer immune response and shine light on further development of immunotherapy approaches and response predictive biomarkers to improve immunotherapy of bladder cancer and other malignancies. We review the success of BCG and anti‐PD‐1/PD‐L1 treatment of bladder cancer, the underlying mechanisms and the therapeutic response predictors, including the limits to our knowledge. We then highlight briefly the adaptation of immunotherapy approaches and predictors developed in other cancers for bladder cancer therapy. Finally, we explore the potential of using bladder cancer as a model to investigate cancer immune response mechanisms and new therapeutic approaches, which may be translated into immunotherapy of other human cancers. © 2019 The Authors. The Journal of Pathology published by John Wiley & Sons Ltd on behalf of Pathological Society of Great Britain and Ireland.