Myeloproliferative neoplasms (MPNs) are stem cell-derived clonal myeloid malignancies characterized by a unique somatic mutational profile since three mutually exclusive mutations (JAK2V617F, MPL, and CALR) sustain the great majority of the cases. However, clinical observation that autoimmune diseases may predispose to MPNs, autoimmune disorders or autoimmune phenomena may be associated with MPNs, and genetic constitutional variants that predispose to autoimmune disorders or inflammatory phenomena also predispose to MPNs raises a hypothesis that there might be an autoimmune/inflammatory basis underlying the pathogenesis of MPNs. Recent studies have documented that MPNs are characterized by an abnormal activity of key cells of the immune system, for example, increase in monocyte/macrophage compartment, altered regulatory T cell frequency, expansion of myeloid-derived suppressor cells, and CD4/natural killer cell dysfunction. This review is focused on summarizing recent advances in our understanding of immunological defects in MPNs with accompanying translational implications.