Triple-negative breast cancer (TNBC) holds a poor prognosis compared to other breast cancer subtypes, and the development of new effective treatment strategies is an unmet medical need. TNBC has traditionally been considered not amenable to treatment with targeted agents due to a lack of actionable targets. Therefore, chemotherapy has remained the mainstay of systemic treatment for many decades. The advent of immunotherapy raised very hopeful expectations in TNBC, possibly due to higher levels of tumor-infiltrating lymphocytes, PD-L1 expression and tumor mutational burden compared to other breast cancer subtypes, that predict an effective anti-tumor immune-engagement. The results of clinical trials testing immunotherapy in TNBC led to the approval of the combination of immune checkpoint inhibitors and chemotherapy in both early and advanced settings. However, some open questions about the use of immunotherapy in TNBC still exist. These include a deeper understanding of the heterogeneity of the disease, identification of reliable predictive biomarkers of response, determination of the most appropriate chemotherapy backbone and appropriate management of potential long-term immune-related adverse events. In this review we aim to examine the available evidence on the use of immunotherapy strategies in both early and advanced TNBC, to critically discuss some of the limitations encountered in clinical research and to summarize data on novel promising immunotherapeutic strategies beyond PD-(L)1 blockade that have been investigated in the most recent trials.