Prostate cancer is one of the most common malignant tumors in men. Initially, it is androgen-dependent, but it eventually develops into castration-resistant prostate cancer (CRPC), which is incurable with current androgen receptor signaling target therapy and chemotherapy. Immunotherapy, specifically with immune checkpoint inhibitors, has brought hope for the treatment of this type of prostate cancer. Approaches such as vaccines, adoptive chimeric antigen receptor-T (CAR-T) cells, and immune checkpoint inhibitors have been employed to activate innate and adaptive immune responses to treat prostate cancer, but with limited success. Only Sipuleucel-T and the immune checkpoint inhibitor pembrolizumab are approved by the US FDA for the treatment of limited prostate cancer patients. Prostate cancer has a complex tumor microenvironment (TME) in which various immunosuppressive molecules and mechanisms coexist and interact. Additionally, prostate cancer is considered a "cold" tumor with low levels of tumor mutational burden, low amounts of antigen-presenting and cytotoxic T-cell activation, and high levels of immunosuppressive molecules including cytokines/chemokines. Thus, understanding the mechanisms of immunosuppressive signaling activation and immune evasion will help develop more effective treatments for prostate cancer. The purpose of this review is to summarize emerging advances in prostate cancer immunotherapy, with a particular focus on the molecular mechanisms that lead to immune evasion in prostate cancer. At the same time, we also highlight some potential therapeutic targets to provide a theoretical basis for the treatment of prostate cancer.