Triple-negative breast cancer (TNBC) has been considered for many years an orphan disease in terms of therapeutic options, with conventional chemotherapy (CT) still representing the mainstay of treatment in the majority of patients. Although breast cancer (BC) has been historically considered a "cold tumor", exciting progress in the genomic field leading to the characterization of the molecular portrait and the immune profile of TNBC has opened the door to novel therapeutic strategies, including Immune Checkpoint Inhibitors (ICIs), Poly ADP-Ribose Polymerase (PARP) inhibitors and Antibody Drug Conjugates (ADCs). In particular, compared to standard CT, the immune-based approach has been demonstrated to improve progression-free survival (PFS) and overall survival (OS) in metastatic PD-L1-positive TNBC and the pathological complete response rate in the early setting, regardless of PD-L1 expression. To date, PD-L1 has been widely used as a predictor of the response to ICIs; however, many patients do not benefit from the addition of immunotherapy. Therefore, PD-L1 is not a reliable predictive biomarker of the response, and its accuracy remains controversial due to the lack of a consensus about the assay, the antibody, and the scoring system to adopt, as well as the spatial and temporal heterogeneity of the PD-L1 status. In the precision medicine era, there is an urgent need to identify more sensitive biomarkers in the BC immune oncology field other than just PD-L1 expression. Through the characterization of the tumor microenvironment (TME), the analysis of peripheral blood and the evaluation of immune gene signatures, novel potential biomarkers have been explored, such as the Tumor Mutational Burden (TMB), Microsatellite Instability/Mismatch Repair Deficiency (MSI/dMMR) status, genomic and epigenomic alterations and tumor-infiltrating lymphocytes (TILs). This review aims to summarize the recent knowledge on BC immunograms and on the biomarkers proposed to support ICI-based therapy in TNBC, as well as to provide an overview of the potential strategies to enhance the immune response in order to overcome the mechanisms of resistance.