Mycoplasma hyopneumoniae (M. hyopneumoniae, Mhp) is a geographically widespread and economically devastating pathogen that colonizes ciliated epithelium; the infection of Mhp can damnify the mucociliary functions as well as leading to Mycoplasma pneumonia of swine (MPS). MPS is a chronic respiratory infectious disease with high infectivity, and the mortality can be increased by secondary infections as the host immunity gets down-regulated during Mhp infection. The host immune responses are regarded as the main driving force for the disease development, while MPS is prone to attack repeatedly in farms even with vaccination or other treatments. As one of the smallest microorganisms with limited genome scale and metabolic pathways, Mhp can use several mechanisms to achieve immune evasion effect and derive enough nutrients from its host, indicating that there is a strong interaction between Mhp and porcine organism. In this review, we summarized the immune evasion mechanisms from genomic variability and post-translational protein processing. Besides, Mhp can induce the immune cells apoptosis by reactive oxygen species production, excessive nitric oxide (NO) release and caspase activation, and stimulate the release of cytokines to regulate inflammation. This article seeks to provide some new points to reveal the complicated interaction between the pathogen and host immune system with Mhp as a typical example, further providing some new strategies for the vaccine development against Mhp infection.