Immunotherapeutic treatment approaches are now an integral part of the treatment of many solid tumors. However, attempts to integrate immunotherapy into the treatment of prostate cancer have been disappointing so far. This is due to a highly immunosuppressive, “cold” tumor microenvironment, which is characterized, for example, by the absence of cytotoxic T cells, an increased number of myeloid-derived suppressor cells or regulatory T cells, a decreased number of tumor antigens, or a defect in antigen presentation. The consequence is a reduced efficacy of many established immunotherapeutic treatments such as checkpoint inhibitors. However, a growing understanding of the underlying mechanisms of tumor–immune system interactions raises hopes that immunotherapeutic strategies can be optimized in the future. The aim of this review is to provide an overview of the current status and future directions of immunotherapy development in prostate cancer. Background information on immune response and tumor microenvironment will help to better understand current therapeutic strategies under preclinical and clinical development.