The advent of immunotherapy has revolutionized cancer treatment. Unfortunately, this has not been the case for metastatic castration-resistant prostate cancer (mCRPC), likely due to the heterogeneous and immune-suppressive microenvironment present in prostate cancer. The identification of molecular biomarkers that could predict response to immunotherapy represents one of the current challenges in this clinical scenario. The management of advanced castration-resistant prostate cancer is rapidly evolving and immunotherapy treatments, mostly consisting of immune checkpoint inhibitors combinations, BiTE® (bispecific T-cell engager) immune therapies, and chimeric antigen receptors (CAR) are in development with promising results. This review analyses the current evidence of immunotherapy treatments for mCRPC, evaluating past failures and promising approaches and discussing the directions for future research.