The immune background of breast cancer is highly heterogeneous and the immune system of the human body plays a dual role by both promoting and suppressing its progression. Innate immune cells are the first line of defense in the immune system and impart protection by identifying and interacting with foreign pathogens and cancer cells. Different innate immune cells like natural killer cells, macrophages, dendritic cells, and myeloid suppressor cells take part in hosting the cancer cells. Autophagy is another key component inside the tumor microenvironment and is linked to the disintegration and recycling of cellular components. Within the tumor microenvironment autophagy is involved with Pattern Recognition Receptors and inflammation. Various clinical studies have shown prominent results where innate immune cells and autophagy in combination are used for pathogen as well as cancer cell clearance. However, it is necessary to comprehend the complex tumor microenvironment so that different therapeutic approaches can be developed to enhance the suppressive actions of the cells toward breast cancer cells. In this review article, the complex interaction between immune cells and breast cancer cells and their role in developing effective immunotherapies to improve patient outcomes are discussed in detail.