The classical myeloproliferative neoplasms (MPN) are uncommon clonal haemopoietic malignancies characterised by excessive production of mature blood cells. Clinically, they are associated with thrombosis, haemorrhage, varying degrees of constitutional disturbance and a risk of progression to myelofibrosis or acute myeloid leukaemia. Many of the disease manifestations may be ameliorated by treatment with interferon‐α (IFN), but its use in Australian MPN patients has been limited due to the inconvenience of frequent injections and side‐effects. The pegylated form of IFN is a long‐acting preparation, which is better tolerated, and its Pharmaceutical Benefits Scheme listing is likely to lead to increased usage. We review the literature on risks and benefits of IFN treatment for MPN, suggest criteria for patient selection in each of these diseases and discuss strategies to manage the side‐effects of pegylated IFN.