Prostate cancer is the second most common malignant neoplasm in men worldwide and the fifth cause of cancer-related death. Although multiple new agents have been approved for metastatic castration resistant prostate cancer over the last decade, it is still an incurable disease. New strategies to improve cancer control are needed and agents targeting the immune system have shown encouraging results in many tumor types. Despite being attractive for immunotherapies due to the expression of various tumor associated antigens, the microenvironment in prostate cancer is relatively immunosuppressive and may be responsible for the failures of various agents targeting the immune system in this disease. To date, sipuleucel-T is the only immunotherapy that has shown significant clinical efficacy in this setting, although the high cost and potential trial flaws have precluded its widespread incorporation into clinical practice. Issues with patient selection and trial design may have contributed to the multiple failures of immunotherapy in prostate cancer and provides an opportunity to tailor future studies to evaluate these agents more accurately. We have reviewed all the completed immune therapy trials in prostate cancer and highlight important considerations for the next generation of clinical trials.