The Philadelphia-negative myeloproliferative neoplasms (MPNs) are malignancies of the hematopoietic stem cell (HSC) arising as a consequence of clonal proliferation driven by somatically acquired driver mutations in discrete genes (JAK2, CALR, MPL). In recent years, along with the advances in molecular characterization, the role of immune dysregulation has been achieving increasing relevance in the pathogenesis and evolution of MPNs. In particular, a growing number of studies have shown that MPNs are often associated with detrimental cytokine milieu, expansion of the monocyte/macrophage compartment and myeloid-derived suppressor cells, as well as altered functions of T cells, dendritic cells and NK cells. Moreover, akin to solid tumors and other hematological malignancies, MPNs are able to evade T cell immune surveillance by engaging the PD-1/PD-L1 axis, whose pharmacological blockade with checkpoint inhibitors can successfully restore effective antitumor responses. A further interesting cue is provided by the recent discovery of the high immunogenic potential of JAK2V617F and CALR exon 9 mutations, that could be harnessed as intriguing targets for innovative adoptive immunotherapies. This review focuses on the recent insights in the immunological dysfunctions contributing to the pathogenesis of MPNs and outlines the potential impact of related immunotherapeutic approaches.