Neoadjuvant chemotherapy (NACT) for certain breast cancer (BC) subtypes confers significant tumor regression rates and a survival benefit for patients with a complete pathologic response. Clinical and preclinical studies have demonstrated that immune-related factors are responsible for better treatment outcomes, and thus, neoadjuvant immunotherapy (IO) has emerged as a means to further improve patient survival rates. Innate immunological “coldness”, however, of specific BC subtypes, especially of the luminal ones, due to their immunosuppressive tumor microenvironment, hinders the efficacy of immune checkpoint inhibitors. Treatment policies aiming to reverse this immunological inertia are, therefore, needed. Moreover, radiotherapy (RT) has been proven to have a significant interplay with the immune system and promote anti-tumor immunity. This “radiovaccination” effect could be exploited in the neoadjuvant setting of BC and significantly enhance the effects of the already established clinical practice. Modern stereotactic irradiation techniques directed to the primary tumor and involved lymph nodes may prove important for the RT-NACT-IO combination. In this review, we provide an overview and critically discuss the biological rationale, clinical experience, and ongoing research underlying the interplay between neoadjuvant chemotherapy, anti-tumor immune response, and the emerging role of RT as a preoperative adjunct with immunological therapeutic implications in BC.