Bone metastases are frequent and debilitating consequence for many tumors, such as breast, lung, prostate, and kidney cancer. Many studies report the importance of the immune system in the pathogenesis of bone metastasis. Indeed, bone and immune system are strictly linked to each other because bone regulates the hematopoietic stem cells from which all cells of the immune system derive, and many immunoregulatory cytokines influence the fate of bone cells. Furthermore, both cytokines and factors produced by immune and bone cells promote the growth of tumor cells in bone, contributing to supporting the vicious cycle of bone metastasis. This review summarizes the current knowledge on the interactions among bone, immune, and tumor cells aiming to provide an overview of the osteoimmunology field in bone metastasis from solid tumors.