The systemic treatment of breast cancer has evolved remarkably over the past decades. With the introduction of immune checkpoint inhibitors (ICIs), clinical outcomes for solid tumor malignancies have significantly improved. However, in breast cancer, the indication for ICIs is currently limited to triple-negative breast cancer (TNBC) only. In high-risk luminal B hormone receptor-positive (HR+) breast cancer (BC) and HER2-positive (HER2+) BC, modest efficacy of ICI and chemotherapy combinations were identified in the neoadjuvant setting. To address the unmet need, several novel immunotherapy strategies are being tested in ongoing clinical trials as summarized in the current review: bispecific antibodies, chimeric antigen receptor T-cell therapy (CAR-T), T-cell receptors (TCRs), tumor-infiltrating lymphocytes (TILs), tumor vaccines, and oncolytic virus therapy.