Historically, breast cancer has been regarded as an immunogenic “cold” tumor hence it has not experienced the explosion of immunotherapy. However, the discovery of immune checkpoint inhibitors has made immunotherapy becoming an emerging new treatment modality for breast cancer. This review discusses the immune system, immune features of breast cancer, and the programmed cell death protein-1/programmed cell death protein ligand-1 (PD-1/PD-L1) inhibitors used in the treatment of breast cancer. High T lymphocyte infiltration and mutation burden were observed in triple-negative breast cancer (TNBC) and human epidermal growth factor receptor 2 (HER2) breast cancer. Increasing breast cancer immunogenicity and modulating the tumor microenvironment has been reported to improve the therapeutic efficacy of immunotherapy. Recent clinical trials involving PD-1/PD-L1 inhibitors monotherapy in breast cancer has revealed little efficacy and this highlights the need to develop combinations of PD-1/PD-L1 inhibitors with chemotherapy, molecularly targeted therapies, and other immunotherapies to maximize the clinical efficacy. In conclusion, the development of a new combined regimen involving PD-1/PD-L1 inhibitors and the exploration as potential biomarkers is important in breast cancer immunotherapy.