Rhodococcus equi causes pyogranulomatous pneumonia in foals and immunocompromised people. Despite decades of research efforts, no vaccine is available against this common cause of disease and death in foals. The purpose of this narrative review was to summarize the current understanding of interactions between R. equi and the host innate immune system, to describe features of the immune response that are associated with resistance or susceptibility to R. equi infection, and help guide strategies for developing novel approaches for preventing R. equi infections. Virulence of R. equi in foals has been attributed to the virulence associated protein A which allows intracellular survival in macrophages by preventing acidification of R. equi-containing vacuole. Additionally, foal susceptibility to R. equi infection is associated with immaturity and naivety of innate and adaptive immune systems, while adult horses with fully functional immune system are resistant to pneumonia. Specific interaction between R. equi and innate immune cells can result in bacterial survival or death; learning how to manipulate these responses to control infection is critical to prevent pneumonia in foals. Administration of live vaccines and stimulation of innate immune responses appears to improve foals’ immune response and has the potential to overcome the challenges of foal active vaccination and elicit protection against pneumonia.