Heat shock proteins (Hsps) are conserved molecules whose main role is to facilitate folding of other proteins. Most Hsps are generally stress-inducible as they play a particularly important cytoprotective role in cells exposed to stressful conditions. Initially, Hsps were generally thought to occur intracellulary. However, recent work has shown that some Hsps are secreted to the cell exterior particularly in response to stress. For this reason, they are generally regarded as danger signaling biomarkers. In this way, they prompt the immune system to react to prevailing adverse cellular conditions. For example, their enhanced secretion by cancer cells facilitate targeting of these cells by natural killer cells. Notably, Hsps are implicated in both pro-inflammatory and anti-inflammatory responses. Their effects on immune cells depends on a number of aspects such as concentration of the respective Hsp species. In addition, various Hsp species exert unique effects on immune cells. Because of their conservation, Hsps are implicated in auto-immune diseases. Here we discuss the various metabolic pathways in which various Hsps manifest immune modulation. In addition, we discuss possible experimental variations that may account for contradictory reports on the immunomodulatory function of some Hsps.