Glioblastoma is the most common brain malignant tumor in the adult population, and immunotherapy is playing an increasingly central role in the treatment of many cancers. Nevertheless, the search for effective immunotherapeutic approaches for glioblastoma patients continues. The goal of immunotherapy is to promote tumor eradication, boost the patient’s innate and adaptive immune responses, and overcome tumor immune resistance. A range of new, promising immunotherapeutic strategies has been applied for glioblastoma, including vaccines, oncolytic viruses, immune checkpoint inhibitors, and adoptive cell transfer. However, the main challenges of immunotherapy for glioblastoma are the intracranial location and heterogeneity of the tumor as well as the unique, immunosuppressive tumor microenvironment. Owing to the lack of appropriate tumor models, there are discrepancies in the efficiency of various immunotherapeutic strategies between preclinical studies (with in vitro and animal models) on the one hand and clinical studies (on humans) on the other hand. In this review, we summarize the glioblastoma characteristics that drive tolerance to immunotherapy, the currently used immunotherapeutic approaches against glioblastoma, and the most suitable tumor models to mimic conditions in glioblastoma patients. These models are improving and can more precisely predict patients’ responses to immunotherapeutic treatments, either alone or in combination with standard treatment.