Background: Immunotherapy-based treatment approaches have demonstrated promising results in cancer patients. However, the efficacy of immunotherapy-based approaches varies and sizeable proportions of cancer patients do not respond to immunotherapy. Taking into account the ability of heat shock proteins (HSPs) to induce a potent antitumor immune response, several investigators have developed and assessed various types of HSP-based immunotherapies in nonclinical and clinical studies. Methods: In this Review, we discuss different immunotherapy-based strategies that involve the use of HSPs, including HSP vaccines, monoclonal antibodies targeting extracellular HSPs, and the involvement of HSPs in adoptive cell transfer (ACT) and in combination therapy with immune checkpoint inhibitors (ICIs). Results: Tumor-derived HSP-peptides complexes induce specific antitumor activity. The combination of HSP90 inhibitors and ICIs as well as monoclonal antibodies targeting surface HSPs may further improve response to immunotherapy. Adoptive transfer of NK cells pre-activated with HSPs may be useful for the aggressive tumors expressing HSPs on their surface. Conclusions: HSPs play a key role in the modulations of immune responses. Various HSP-based immunotherapies may prove effective in the treatment of cancer patients, however, this warrants further investigation.