Immunotherapy has shown limited efficacy in prostate cancer, largely due to low tumor immunogenicity, sparse tumor-infiltrating lymphocytes, and a suppressive microenvironment. Recent therapeutic strategies aim to boost immune responses and counteract immunosuppressive factors through interventions such as immune checkpoint inhibitors, immunogenic cell death-inducing therapies, and the targeted blockade of pathways like that of transforming growth factor-β. Vaccine-based approaches, potent immune adjuvants, and engineered chimeric antigen receptor (CAR) T cells are also being investigated to overcome local immune inhibitory signals. Advancements in imaging, multi-omic profiling, and liquid biopsies offer promising avenues for real-time monitoring, better patient selection, and precision treatment. This review provides an overview of the key immunosuppressive features of prostate cancer, current immunotherapeutic modalities, and emerging strategies to transform "cold" tumors into more responsive "hot" targets. By integrating these approaches, we may achieve more durable clinical benefits for patients with advanced or metastatic prostate cancer.