Over the development of eukaryotic cells, intrinsic mechanisms have been developed in order to provide the ability to defend against aggressive agents. In this sense, a group of proteins plays a crucial role in controlling the production of several proteins, guaranteeing cell survival. The heat shock proteins (HSPs), are a family of proteins that have been linked to different cellular functions, being activated under conditions of cellular stress, not only imposed by thermal variation but also toxins, radiation, infectious agents, hypoxia, etc. Regarding pathological situations as seen in cardiorenal syndrome (CRS), HSPs have been shown to be important mediators involved in the control of gene transcription and intracellular signaling, in addition to be an important connector with the immune system. CRS is classified as acute or chronic and according to the first organ to suffer the injury, which can be the heart (CRS type 1 and type 2), kidneys (CRS type 3 and 4) or both (CRS type 5). In all types of CRS, the immune system, redox balance, mitochondrial dysfunction, and tissue remodeling have been the subject of numerous studies in the literature in order to elucidate mechanisms and propose new therapeutic strategies. In this sense, HSPs have been targeted by researchers as important connectors between kidney and heart. Thus, the present review has a focus to present the state of the art regarding the role of HSPs in the pathophysiology of cardiac and renal alterations, as well their role in the kidney–heart axis.