Myelodysplastic syndromes (MDS) are characterized by ineffective hematopoiesis and often include a dysregulation and dysfunction of the immune system. In the context of population aging, MDS incidence is set to increase substantially, with exponential increases in health care costs, given the limited and expensive treatment options for these patients. Treatment selection is mainly based on calculated risk categories according to a Revised International Prognostic Scoring System (IPSS-R). However, although IPSS-R is an excellent predictor of disease progression, it is an ineffective predictor of response to disease-modifying therapies. Redressing these unmet needs, the “immunome” is a key, multifaceted component in the initiation and overall response against malignant cells in MDS, and the current omission of immune status monitoring may in part explain the insufficiencies of current prognostic stratification methods. Nevertheless, integrating these and other recent molecular advances into clinical practice proves difficult. This review highlights the complexity of immune dysregulation in MDS pathophysiology and the fine balance between smoldering inflammation, adaptive immunity, and somatic mutations in promoting or suppressing malignant clones. We review the existing knowledge and discuss how state-of-the-art immune monitoring strategies could potentially permit novel patient substratification, thereby empowering practical predictions of response to treatment in MDS. We propose novel multicenter studies, which are needed to achieve this goal.