Human prostate cancer is a heterogenous malignancy that responds poorly to immunotherapy targeting immune checkpoints. The immunosuppressive tumor microenvironment that is typical of human prostate cancer has been the main obstacle to these treatments. The effectiveness of these therapies is also hindered by acquired resistance, leading to slow progress in prostate cancer immunotherapy. Results from the highly anticipated late-stage clinical trials of PD-1/PD-L1 immune checkpoint blockade in patients with advanced prostate cancer have highlighted some of the obstacles to immunotherapy. Despite the setbacks, there is much that has been learned about the mechanisms that drive resistance, and new strategies are being developed and tested. Here, we review the status of immune checkpoint blockade and the immunosuppressive tumor microenvironment and discuss factors contributing to innate and adaptive resistance to immune checkpoint blockade within the context of prostate cancer. We then examine current strategies aiming to overcome these challenges as well as prospects.