This paper presents the Lagrangian duality theory for mixed-integer semidefinite programming (MISDP). We derive the Lagrangian dual problem and prove that the resulting Lagrangian dual bound dominates the bound obtained from the continuous relaxation of the MISDP problem. We present a hierarchy of Lagrangian dual bounds by exploiting the theory of integer positive semidefinite matrices and propose three algorithms for obtaining those bounds. Our algorithms are variants of well-known algorithms for minimizing non-differentiable convex functions. The numerical results on the max-$k$-cut problem show that the Lagrangian dual bounds are substantially stronger than the semidefinite programming bound obtained by relaxing integrality, already for lower levels in the hierarchy.