Immune therapy has recently emerged as a standard-of-care strategy for the treatment of melanoma, lung cancer, bladder cancer, among other malignancies. However, the role of immune therapy in the treatment of breast cancer is still being determined. Two current strategies for harnessing the immune system to treat cancer include drugs that modulate key T cell inhibitory checkpoints and vaccines. Specifically, modern immune therapy strategies can facilitate T-cell mediated tumor regression by priming the immune system against specific tumor associated antigens, by modulating immunoregulatory signals, or both. In breast cancer, preliminary data from preclinical and early clinical studies are promising. In fact, clinical data with checkpoint blockade as monotherapy has been reported in multiple breast cancer subtypes to date, with durable responses observed in a significant proportion of women with chemotherapy resistant disease. However, because the number of genetic mutations and thus, the number of neoantigens available for immune response are modest in most breast cancers when compared with other cancers, most breast cancers may not be inherently sensitive to immune modulation and therefore may require strategies that enhance tumor associated antigen presentation if immune modulation strategies are to be effective. To that end, studies that combine checkpoint blockade with other strategies including established systemic therapies (including hormone therapy and chemotherapy), radiation therapy, and localized therapy including tumor freezing (cryoablation) are underway in breast cancer. Studies that combine checkpoint blockade with vaccines are also planned. Herein, we provide a brief summary of key components of the immune response against cancer, a rationale for the use of immune therapy in breast cancer, data from early clinical trials of checkpoint blockade and vaccine strategies in breast cancer, and future directions in the field.