Prostate cancer (PC) is the most common type of tumor in men. In the early stage of the disease, it is sensitive to androgen deprivation therapy. In patients with metastatic castration-sensitive prostate cancer (mHSPC), chemotherapy and second-generation androgen receptor therapy have led to increased survival. However, despite advances in the management of mHSPC, castration resistance is unavoidable and many patients develop metastatic castration-resistant disease (mCRPC). In the past few decades, immunotherapy has dramatically changed the oncology landscape and has increased the survival rate of many types of cancer. However, immunotherapy in prostate cancer has not yet given the revolutionary results it has in other types of tumors. Research into new treatments is very important for patients with mCRPC because of its poor prognosis. In this review, we focus on the reasons for the apparent intrinsic resistance of prostate cancer to immunotherapy, the possibilities for overcoming this resistance, and the clinical evidence and new therapeutic perspectives regarding immunotherapy in prostate cancer with a look toward the future.