In the last few years, cancer immunotherapy has changed the natural history and treatment strategies of a number of solid tumors, including melanoma and lung cancer. The anti-PD-1 nivolumab showed a survival benefit compared with everolimus in the second-line treatment of renal cell carcinoma, resulting in a radical shift in perspective in the treatment of this neoplasia and suggesting a new scenario beyond tyrosine kinase inhibitors. Checkpoint inhibitors might also improve the treatment of urothelial cancer, considering the promising results achieved so far and the relatively low efficacy of currently available treatments. Sipuleucel-T was the first approved immunotherapy for prostate cancer, showing a clear benefit in overall survival, and paved the way for the clinical testing of other novel cancer vaccines. This review provides a comprehensive overview of the current knowledge and new perspectives of immunotherapy in the treatment of urogenital malignancies.