Pancreatic ductal adenocarcinoma (PDAC) is one of the most lethal diseases, with an average 5-year survival rate of less than 10%. Unfortunately, the majority of patients have unresectable, locally advanced, or metastatic disease at the time of diagnosis. Moreover, traditional treatments such as chemotherapy, surgery, and radiation have not been shown to significantly improve survival. Recently, there has been a swift increase in cancer treatments that incorporate immunotherapy-based strategies to target all the stepwise events required for tumor initiation and progression. The results in melanoma, non-small-cell lung cancer and renal cell carcinoma are very encouraging. Unfortunately, the application of checkpoint inhibitors, including anti-CTLA4, anti-PD-1, and anti-PD-L1 antibodies, in pancreatic cancer has been disappointing. Many studies have revealed that the PDAC microenvironment supports tumor growth, promotes metastasis and consists of a physical barrier to drug delivery. Combination therapies hold great promise for enhancing immune responses to achieve a better therapeutic effect. In this review, we provide an outline of why pancreatic cancer is so lethal and of the treatment hurdles that exist. Particular emphasis is given to the role of the tumor microenvironment, and some of the latest and most promising studies on immunotherapy in PDAC are also presented.