Epidemiological data highlight prostate cancer as a significant global health issue, with high incidence and substantial impact on patients’ quality of life. The prevalence of this disease is associated with various factors, including age, heredity, and race. Recent research in prostate cancer genetics has identified several genetic variants that may be associated with an increased risk of developing the disease. However, despite the significance of these findings, genetic markers for prostate cancer are not currently utilized in clinical practice as reliable indicators of the disease. In addition to genetics, epigenetic alterations also play a crucial role in prostate cancer development. Aberrant DNA methylation, changes in chromatin structure, and microRNA (miRNA) expression are major epigenetic events that influence oncogenesis. Existing markers for prostate cancer, such as prostate-specific antigen (PSA), have limitations in terms of sensitivity and specificity. The cost of testing, follow-up procedures, and treatment for false-positive results and overdiagnosis contributes to the overall healthcare expenditure. Improving the effectiveness of prostate cancer diagnosis and prognosis requires either narrowing the risk group by identifying new genetic factors or enhancing the sensitivity and specificity of existing markers. Immunological biomarkers (both circulating and intra-tumoral), including markers of immune response and immune dysfunction, represent a potentially useful area of research for enhancing the diagnosis and prognosis of prostate cancer. Our review emphasizes the need for developing novel immunological biomarkers to improve the diagnosis, prognosis, and management of prostate cancer. We highlight the most recent achievements in the identification of biomarkers provided by circulating monocytes and tumor-associated macrophages (TAMs). We highlight that monocyte-derived and TAM-derived biomarkers can enable to establish the missing links between genetic predisposition, hormonal metabolism and immune responses in prostate cancer.