Impressive advances have been seen in cancer immunotherapy during the last years. Although breast cancer (BC) has been long considered as non-immunogenic, immunotherapy for the treatment of BC is now emerging as a new promising therapeutic approach with considerable potential. This is supported by a plethora of completed and ongoing preclinical and clinical studies in various types of immunotherapies. However, a significant gap between clinical oncology and basic cancer research impairs the understanding of cancer immunology and immunotherapy, hampering cancer therapy research and development. To exploit the accumulating available data in an optimal way, both fundamental mechanisms at play in BC immunotherapy and its clinical pitfalls must be integrated. Then, clinical trials must be critically designed with appropriate combinations of conventional and immunotherapeutic strategies. While there is room for major improvement, this updated review details the immunotherapeutic tools available to date, from bench to bedside, in the hope that this will lead to rethinking and optimizing standards of care for BC patients.