The extracellular matrix (ECM) spatiotemporally controls cell fate; however, dysregulation of ECM remodeling can lead to tumorigenesis and cancer development by providing favorable conditions for tumor cells. Proteoglycans (PGs) and glycosaminoglycans (GAGs) are the major macromolecules composing ECM. They influence both cell behavior and matrix properties through direct and indirect interactions with various cytokines, growth factors, cell surface receptors, adhesion molecules, enzymes, and glycoproteins within the ECM. The classical features of PGs/GAGs play well-known roles in cancer angiogenesis, proliferation, invasion, and metastasis. Several lines of evidence suggest that PGs/GAGs critically affect broader aspects in cancer initiation and the progression process, including regulation of cell metabolism, serving as a sensor of ECM’s mechanical properties, affecting immune supervision, and participating in therapeutic resistance to various forms of treatment. These functions may be implemented through the characteristics of PGs/GAGs as molecular bridges linking ECM and cells in cell-specific and context-specific manners within the tumor microenvironment (TME). In this review, we intend to present a comprehensive illustration of the ways in which PGs/GAGs participate in and regulate several aspects of tumorigenesis; we put forward a perspective regarding their effects as biomarkers or targets for diagnoses and therapeutic interventions.