In the recent years characterized by the cancer immunotherapy revolution, attention has turned to how to potentially boost and/or generate an efficient anti-tumor immune response in breast cancer (BC). Clinical activity of immune checkpoint blockade (ICB) targeting PD-1 or PD-L1 in BC has been more evident in the triple negative subtype and in earlier lines of the treatment. Remarkably, some responders to single agent ICB have achieved durable responses with metastatic disease, possibly as a result of treatment-induced immunological memory. However, most BC are immunologically quiescent and current research efforts developing ICB combinations are attempting to convert "cold" into "hot" tumors by manipulating the tumor microenvironment, expanding anti-tumor T cells improving efficient antigen presentation, and suppressing pro-tumor inhibitory cells. The aim of this review is to summarize existing data on the efficacy of immune checkpoint blockers as single agents and combination strategies in all BC subtypes, highlighting the BC subgroups that benefit most from ICB.