Every cancer triggers an immune response that constitutes an important first-line protection against cancer progression. In breast cancer, there is an increasing awareness of the relationship between the immune system and tumor evolution. The tumor microenvironment is composed of a variety of immune cells that can control or arrest malignant progression. Chemotherapy and targeted therapy have been shown to modulate this immune microenvironment. Recently, tumor-infiltrating lymphocytes have emerged as a predictive and prognostic biomarker in early breast cancer. In addition, immune gene expression signatures have been shown to be associated with prognosis in triple-negative and human epidermal growth factor receptor 2-positive breast cancer. Such findings have increased interest in the development of immunotherapeutic agents for breast cancer, and multiple clinical trials of anticancer vaccines and immune checkpoint inhibitors are ongoing. In this review, we summarize what is known about the relationship between immunity and breast carcinoma, explore the relevance of this information to the clinical and research settings, and give a portrait of new therapeutic strategies using immunotherapy in breast cancer.