Over 30 years’ successful application of Bacillus Calmette Guerin (BCG) to the clinical treatment of bladder cancer has proved it one of the most promising immunotherapies for cancer. However, the applications and achievements have failed to uncover the mechanism of BCG works on bladder cancer fully. Clinically, the administration of BCG on patients results in no effect, or apparent resistance, and even severe adverse reactions, which are inexplicable. At present, the widely confirmed and accepted immunity mechanism of BCG fall in the processes of the absorption after the instillation of BCG, the internalization of BCG, cytokine release induced by a series of signal transduction pathways, and the effect stage of innate and acquired immune responses. Nonetheless, the limited ascertainments of the mechanism of BCG action cannot fully explain the clinical phenomenon caused by BCG. Therefore, the other mechanisms of BCG action have remained the research hotspot aiming to explore more targeted treatments or to initiate new therapeutic methods avoiding harm. By summarizing the recent research achievements of the mechanism of BCG works on bladder cancer, this review aims to provide clues for researchers to quest more valuable ideas.