Biomarkers are essential to define the tumor characteristics and the molecular nature of breast cancer and are also related in multiple ways to the response to immunotherapy in breast cancer. The most relevant factors are as follows: (1) Molecular tumor subtype: Triple-negative breast cancer (TNBC) shows significant responsiveness to immunotherapy. The classification of low estrogen receptor (ER) tumors is complex, as they often resemble TNBC in treatment response and prognosis. (2) Tumor microenvironment (TME): The TME comprises various cells, including immune and stromal cells, which influence tumor behavior. Tumor-associated macrophages can have dual roles, either supporting or suppressing tumor growth. (3) Tumor-infiltrating lymphocytes (TILs): TILs are critical for predicting immunotherapy effectiveness, particularly in TNBC. Their presence correlates with better outcomes and are linked to genomic instability. (4) Protein biomarkers: PD-L1 and FOXP3 are highlighted as significant markers. PD-L1 inhibits T-cell response, while FOXP3 is associated with regulatory T cells that can influence tumor immunity. (5) Other molecular markers: Tumor mutational burden (TMB), microsatellite instability (MSI), and homologous recombination deficiency (HRD) are discussed as important markers for assessing immunotherapy responses, with TMB particularly indicating potential efficacy of immune checkpoint inhibitors. Overall, the interplay of these factors is crucial for optimizing immunotherapy strategies in breast cancer treatment.