In this paper, we will review the data on stromal components and immunological parameters in the cancer microenvironment as prognostic and predictive markers in breast cancer. Host immunological response to cancer has gained importance because of recent breakthroughs in immunotherapy. Currently, molecular and clinical subtyping of breast cancer is solely based on the molecular features of the cancer cells without considering the importance of stromal components. There is now clear evidence that infiltrating immune and inflammatory cells influence the biology and clinical course of breast cancer. However, the prognostic and predictive function of immune cells differs between breast cancer subtypes. Immune parameters are established and validated prognostic and predictive markers in triple negative and for HER2 positive breast cancers and may be ready to be used as stratification parameters in clinical trials and as adjunct variables when making clinical decisions. On the other hand, the prognostic and predictive impact is minimal in low grade, luminal A type breast cancers. The strong association between higher lymphocytic infiltration and better outcome (including greater chemotherapy sensitivity) in TNBC and HER2 positive cancers also raises novel therapeutic options that target immune cells to increase their activity. Immune markers also carry the potential to serve as predictive markers to select patients for immunotherapeutic regimens (e.g. checkpoint inhibitors).