Our body is constantly exposed to pathogens or external threats, but with the immune response that our body can develop, we can fight off and defeat possible attacks or infections. Nevertheless, sometimes this threat comes from an internal factor. Situations such as the existence of a tumour also cause our immune system (IS) to be put on alert. Indeed, the link between immunology and cancer is evident these days, with IS being used as one of the important targets for treating cancer. Our IS is able to eliminate those abnormal or damaged cells found in our body, preventing the uncontrolled proliferation of tumour cells that can lead to cancer. However, in several cases, tumour cells can escape from the IS. It has been observed that immune cells, the extracellular matrix, blood vessels, fat cells and various molecules could support tumour growth and development. Thus, the developing tumour receives structural support, irrigation and energy, among other resources, making its survival and progression possible. All these components that accompany and help the tumour to survive and to grow are called the tumour microenvironment (TME). Given the importance of its presence in the tumour development process, this review will focus on one of the components of the TME: immune cells. Immune cells can support anti-tumour immune response protecting us against tumour cells; nevertheless, they can also behave as pro-tumoural cells, thus promoting tumour progression and survival. In this review, the anti-tumour and pro-tumour immunity of several immune cells will be discussed. In addition, the TME influence on this dual effect will be also analysed.