There is a growing interest in the role of the microenvironment in cancer, however, it has been known for over one hundred years that the immune system plays a prominent role in cancer. Recent decades have revealed more and more data on how our own host response to cancer cells can help or hinder progression of the disease. Despite all this work it is surprising how little is known about the role of the immune system in human breast cancer development, as compared to other cancers. Recent successes of PD-1 blockade in treating multiple cancers, and new developments with other immune targets such as CTLA-4 and CSF-1 inhibitors, highlight that it is becoming ever more important that we understand the complexity of the immune and inflammatory systems in the development and progression of breast cancer. With this knowledge it may be possible to not only target therapy but also more accurately predict those patients that truly need it. This review summarises some of the most significant findings for the role of the immune system and inflammatory response in breast cancer progression. Focusing on how the inflammatory microenvironment may be involved in the progression of pre-invasive ductal carcinoma in situ to invasive breast cancer. It will also discuss the use of immune markers as diagnostic and prognostic tools and summarise the state of the art of immune-therapeutics in breast cancer treatment.