Functioning of BCG vaccine
The exposure to environentally occurring Mycobacteria causes a immune response to these (mostly unspecific, since no real infections occur). It seems that immunizations with BCG in these individuals is causing either no, or only a very attenuated immune response
This is shown in this ("BCG-induced increase in interferon-gamma response to mycobacterial antigens and efficacy of BCG vaccination in Malawi and the UK: two randomised controlled studies.") in which individuals with a high environmental exposure to mycobycteria showed only a very small response to this vaccination. If this natural level of immunity is enough to produce immunity to tuberculosis is unknown (and can not be tested for obvious reasons).

Another possibility is that the natural occurring immunity blocks the vaccine strains so they get eliminated before they induce an immune response. See here.
This is called the masking theory,if you want to read further, have a look at this three reviews, they give a good overview over the field:


TB vaccines: progress and problems.
A novel TB vaccine; towards a strategy based on our understanding of
BCG failure.
The success and failure of BCG - implications for a novel
tuberculosis vaccine.