The immune tumour microenvironment has been shown to play a crucial role in the development and progression of cancer. Expression of gene signatures, reflecting immune activation, and the presence of tumour-infiltrating lymphocytes were associated with favourable outcomes in HER2-positive and triple-negative breast cancer. Recently, immunotherapy with immune checkpoint blockade induced long-lasting responses and improved survival in hard-to-treat malignancies (ie, melanoma and non-small cell lung cancer) and are changing treatment paradigms in a variety of neoplastic diseases. Immune checkpoint blockade has been evaluated in breast cancer, particularly in the triple-negative subtype, with promising results observed in monotherapy or in combination with chemotherapy in the metastatic and neoadjuvant settings. However, identification of patients who are most likely to benefit from immune checkpoint blockade remains challenging, with many patients not responding to treatments and a significant financial cost. The combination of immune checkpoint blockade with conventional cancer treatments such as chemotherapy, radiotherapy, targeted therapies or with other immunotherapies is a promising strategy to potentiate its efficacy in breast cancer although further research is required to effectively identify who will respond to these immunotherapies. In this review we report the most recent results that emerged from trials testing immune checkpoint blockade and potential predictive biomarkers and emphasise the new strategies that are under clinical development in breast cancer.