Immunotherapy encompasses a wide range of therapies to engage the immune system to target malignancies. In recent years, immunotherapy has made a major impact on treatment of metastatic cancer and has altered standard of care for many tumor types. However, predicting and understanding responses across tumor types has been challenging. While some metastatic cancers have shown dramatic responses to immunotherapy, such as melanoma, lung cancer, and renal cell carcinoma, prostate cancer has generally failed to show a significant response. However, small series of prostate cancer patients have shown impressive responses to cellular and immunotherapy. This review summarizes the current data for immunotherapy’s use in prostate cancer, as well as how currently available data might help predict patient responses to immunotherapy. Specifically, we will review vaccine-based therapies, immune checkpoint inhibitors, and future directions that are actively being explored.