Immunotherapy has become integral in cancer therapeutics over the past two decades and is now part of standard-of-care treatment in multiple cancer types. While various biomarkers and pathway alterations such as dMMR, CDK12, and AR-V7 have been identified in advanced prostate cancer to predict immunotherapy responsiveness, the vast majority of prostate cancer remain intrinsically immune-resistant, as evidenced by low response rates to anti-PD(L)1 monotherapy. Since regulatory approval of the vaccine therapy sipuleucel-T in the biomarker-unselected population, there has not been much success with immunotherapy treatment in advanced prostate cancer. Researchers have looked at various strategies to overcome immune resistance, including the identification of more biomarkers and the combination of immunotherapy with existing effective prostate cancer treatments. On the horizon, novel drugs using bispecific T-cell engager (BiTE) and chimeric antigen receptors (CAR) technology are being explored and have shown promising early efficacy in this disease. Here we discuss the features of the tumour microenvironment that predispose to immune resistance and rational strategies to enhance antitumour responsiveness in advanced prostate cancer.