The use of immunotherapy has become a critical treatment modality in many advanced cancers. However, immunotherapy in prostate cancer has not been met with similar success. Multiple interrelated mechanisms, such as low tumor mutational burden, immunosuppressive cells, and impaired cellular immunity, appear to subvert the immune system, creating an immunosuppressive tumor microenvironment and leading to lower treatment efficacy in advanced prostate cancer. The lethality of metastatic castrate-resistant prostate cancer is driven by the lack of therapeutic regimens capable of generating durable responses. Multiple strategies are currently being tested to overcome immune resistance including combining various classes of treatment modalities. Several completed and ongoing trials have shown that combining vaccines or checkpoint inhibitors with hormonal therapy, radiotherapy, antibody–drug conjugates, chimeric antigen receptor T cell therapy, or chemotherapy may enhance immune responses and induce long-lasting clinical responses without significant toxicity. Here, we review the current state of immunotherapy for prostate cancer, as well as tumor-specific mechanisms underlying therapeutic resistance, with a comprehensive look at the current preclinical and clinical immunotherapeutic strategies aimed at overcoming the immunosuppressive tumor microenvironment and impaired cellular immunity that have largely limited the utility of immunotherapy in advanced prostate cancer.