The recent FDA approval of the first therapeutic vaccine against prostate cancer has revitalized the public interest in the fields of cancer immunology and immunotherapy. Yet, clinical results are modest. A reason for this limited success may reside in the capacity of the tumor to convert inflammation in a tumor-promoting condition and eventually escape immune surveillance. Here we present the main known interactions between the prostate tumor and the immune system, showing how the malignancy can dodge the immune system by also exerting several immunosuppressive mechanisms. We also discuss experimental and clinical strategies proposed to counteract cancer immune evasion and emphasize the importance of implementing appropriate murine models like the transgenic adenocarcinoma of the mouse prostate model for investigating the biology of prostate cancer and novel immunotherapy approaches against it.