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Simple Summary: Immunotherapy has changed the landscape of treatment modalities available for many different types of malignancies. However, the factors that influence the success of immunotherapeutics have not been as clearly seen in advanced prostate cancer, likely due to immunosuppressive factors that exist within the prostate cancer tumor microenvironment. While there have been many immunotherapeutics used for prostate cancer, the majority have targeted a single immunosuppressive mechanism resulting in limited clinical efficacy. More recent research centered on elucidating the key mechanisms of immune resistance in the prostate tumor microenvironment has led to the discovery of a range of new treatment targets. With that in mind, many clinical trials have now set out to evaluate combination immunotherapeutic strategies in patients with advanced prostate cancer, in the hopes of circumventing the immunosuppressive mechanisms. The use of immunotherapy has become a critical treatment modality in many advanced cancers. However, immunotherapy in prostate cancer has not been met with similar success. Multiple interrelated mechanisms, such as low tumor mutational burden, immunosuppressive cells, and impaired cellular immunity, appear to subvert the immune system, creating an immunosuppressive tumor microenvironment and leading to lower treatment efficacy in advanced prostate cancer. The lethality of metastatic castrate-resistant prostate cancer is driven by the lack of therapeutic regimens capable of generating durable responses. Multiple strategies are currently being tested to overcome immune resistance including combining various classes of treatment modalities. Several completed and ongoing trials have shown that combining vaccines or checkpoint inhibitors with hormonal therapy, radiotherapy, antibody–drug conjugates, chimeric antigen receptor T cell therapy, or chemotherapy may enhance immune responses and induce long-lasting clinical responses without significant toxicity. Here, we review the current state of immunotherapy for prostate cancer, as well as tumor-specific mechanisms underlying therapeutic resistance, with a comprehensive look at the current preclinical and clinical immunotherapeutic strategies aimed at overcoming the immunosuppressive tumor microenvironment and impaired cellular immunity that have largely limited the utility of immunotherapy in advanced prostate cancer. [ABSTRACT FROM AUTHOR]