Numerous epidemiological studies have reported the association between high serum cholesterol and high mortality rates due to ischemic heart disease. In addition, high mortality rates were also shown in those with low cholesterol levels, just as in those with high cholesterol levels. It has been reported that the increased mortality observed in those with low cholesterol is due to causes other than ischemic heart diseases, and cancer is one of the leading causes of the increasing number of deaths due to low serum cholesterol levels. Relatively little is known about the role of cholesterol in the carcinogenesis and prevention of cancer. The roles of cholesterol in cancer development, progression, and tumor microenvironment are still controversial. Numerous studies reported a close relationship between cancer and serum cholesterol levels or statin use, while others did not show any association. Mutational status and expression levels of all genes in different types of cancers, including genes involved in cholesterol metabolism, were studied, and the role of cholesterol in carcinogenesis was demonstrated. The compelling evidence from these epidemiological studies is the leading cause of uncertainty and controversy regarding the role of cholesterol in cancer. Therefore, the effect of cholesterol on carcinogenesis, immunity, immune cells, and tumor microenvironment gains importance to find explanatory answers to these contradictory findings reported in the literature regarding the relationship between cancer and cholesterol. For this purpose, this review is aimed to summarize the effect of cholesterol on all these processes.