Immunotherapy is rapidly transforming cancer care across a range of tumor types. Although Sipuleucel-T represented the first successful vaccine for the treatment of established cancer, other immunotherapeutic approaches for prostate cancer such as checkpoint inhibitors have been relatively disappointing to date. However, significant promise is on the horizon as there is a wide array trials evaluating immunotherapy in prostate cancer patients. These include both immune checkpoint inhibitors and antigen-specific approaches including vaccines, antibody-drug conjugates, and antitumor antibodies. Furthermore, a better understanding of the key mechanisms that promote the immunosuppressive microenvironment of prostate cancer is emerging. These insights may eventually make it possible to determine which patients will benefit from immunotherapy. This review will discuss the successes and failures of immunotherapy in prostate cancer. We will also present key lessons learned from completed trials and highlight important ongoing studies.