Immunotherapy for breast cancer ranges from vaccines and cell therapies to immune checkpoint inhibition. It is based on the fundamental idea that the immune system can recognise and attack neoplastic cells, which corresponds to the positive prognostic value of the presence of immune cells. The original immune surveillance theory that an impaired immune system leads to cancer has gradually been replaced by the immune editing hypothesis. This hypothesis assumes an arms race between cancer and the immune system, in which the immune system itself plays an active role in selecting those tumour cell clones that can resist its own attack. This precarious balance may lead to the cancer escaping the immune system under the influence of different cells and factors from the microenvironment. Because breast cancer is a heterogeneous disease, the molecular subtype, the differences between early and advanced cancers, and the timing of treatment, as well as the origin of potential antigens, can play an important role. Moreover, the interplay between cancer and the immune system relies on interactions of a variety of cell types whose spatial localisation in the tissue is crucial. This explains the great interest in methods for multidimensional spatial profiling to develop biomarkers that may help to predict response to treatment.