Prostate cancer is one of the most common cancers in men and a leading cause of cancer-related death. Recent advances in the treatment of advanced prostate cancer, including the use of more potent and selective inhibitors of the androgen signaling pathway, have provided significant clinical benefit for men with metastatic castration-resistant prostate cancer (mCRPC). However, most patients develop progressive lethal disease, highlighting the need for more effective treatments. One such approach is immunotherapy, which harness the power of the patient's immune system to identify and destroy cancer cells through the activation of cytotoxic CD8 T cells specific for tumor antigens. Although immunotherapy, particularly checkpoint blockade, can induce significant clinical responses in patients with solid tumors or hematological malignancies, minimal efficacy has been observed in men with mCRPC. In the current review, we discuss our current understanding of the immunological complexity of the immunosuppressive prostate cancer microenvironment, preclinical models of prostate cancer, and recent advances in immunotherapy clinical trials to improve outcomes for men with mCRPC.