High intensity focused ultrasound (HIFU), also referred to as focused ultrasound surgery (FUS), has garnered recent attention as a non-invasive therapeutic strategy for prostate cancer. It utilizes focused acoustic energy to achieve localized thermal ablation, while also potentially exerting immunomodulatory effects. This review aims to elucidate the mechanisms underlying how HIFU influences tumor-specific immune responses in prostate cancer. These mechanisms include the release of tumor-associated antigens and damage-associated molecular patterns, the activation of innate immune cells, the facilitation of antigen presentation to adaptive immune cells, the enhancement of activation and proliferation of tumor-specific cytotoxic T lymphocytes, and the attenuation of the immunosuppressive tumor microenvironment by reducing the activity of regulatory T cells and myeloid-derived suppressor cells. Both preclinical investigations and emerging clinical data in prostate cancer models highlight HIFU's potential to modulate the immune system, as evidenced by increased infiltration of effector immune cells, elevated levels of pro-inflammatory cytokines, and improved responsiveness to immune checkpoint inhibitors. HIFU induces immunogenic cell death, leading to the release of tumor antigens and danger signals that activate dendritic cells and facilitate cross-presentation to cytotoxic T cells. Additionally, FUS ablation reduces immunosuppressive cells and increases infiltration of CD8+ T cells into the tumor, reshaping the tumor microenvironment. By priming the immune system while overcoming immunosuppression, combining FUS with other immunotherapies like checkpoint inhibitors and cancer vaccines holds promise for synergistic anti-tumor effects. Despite challenges in optimizing parameters and identifying suitable patients, FUS represents a novel frontier by modulating the tumor microenvironment and enhancing anti-tumor immunity through a non-invasive approach.