Unlike other types of breast cancers (BCs), no specific therapeutic targets have been established for triple negative breast cancer (TNBC). Therefore, chemotherapy and radiotherapy are the only available adjuvant therapeutic choices for TNBC. New emerging reports show that TNBC is associated with higher numbers of intratumoral tumor infiltrating lymphocytes. This is indicative of host anti-TNBC immune surveillance and suggesting that immunotherapy can be considered as a therapeutic approach for TNBC management. Recent progress in molecular mechanisms of tumor-immune system interaction and cancer vaccine development studies, fast discoveries and FDA approvals of immune checkpoint inhibitors, chimeric antigen receptor T-cells, and oncolytic virotherapy have significantly attracted attention and research directions toward the immunotherapeutic approach to TNBC. Here in this review different aspects of TNBC immunotherapies including the host immune system-tumor interactions, the tumor microenvironment, the relevant molecular targets for immunotherapy, and clinical trials in the field are discussed.