Bone is a common organ affected by metastasis in various advanced cancers, including lung, breast, prostate, colorectal, and melanoma. Once a patient is diagnosed with bone metastasis, the patient's quality of life and overall survival are significantly reduced owing to a wide range of morbidities and the increasing difficulty of treatment. Many studies have shown that bone metastasis is closely related to bone microenvironment, especially bone immune microenvironment. However, the effects of various immune cells in the bone microenvironment on bone metastasis remain unclear. Here, we described the changes in various immune cells during bone metastasis and discussed their related mechanisms. Osteoblasts, adipocytes, and other non-immune cells closely related to bone metastasis were also included. This review also summarized the existing treatment methods and potential therapeutic targets, and provided insights for future studies of cancer bone metastasis.