Heat shock factor 2 (HSF2), a transcription factor, plays significant roles in corticogenesis and spermatogenesis by regulating various target genes and signaling pathways. However, its expression, clinical significance and correlation with tumor-infiltrating immune cells across cancers have rarely been explored. In the present study, we comprehensively investigated the expression dysregulation and prognostic significance of HSF2, and the relationship with clinicopathological parameters and immune infiltration across cancers. The mRNA expression status of HSF2 was analyzed by TCGA, GTEx, and CCLE. Kaplan-Meier analysis and Cox regression were applied to explore the prognostic significance of HSF2 in different cancers. The relationship between HSF2 expression and DNA methylation, immune infiltration of different immune cells, immune checkpoints, tumor mutation burden (TMB), and microsatellite instability (MSI) were analyzed using data directly from the TCGA database. HSF2 expression was dysregulated in the human pan-cancer dataset. High expression of HSF2 was associated with poor overall survival (OS) in BRCA, KIRP, LIHC, and MESO but correlated with favorable OS in LAML, KIRC, and PAAD. The results of Cox regression and nomogram analyses revealed that HSF2 was an independent factor for KIRP, ACC, and LIHC prognosis. GO, KEGG, and GSEA results indicated that HSF2 was involved in various oncogenesis- and immunity-related signaling pathways. HSF2 expression was associated with TMB in 9 cancer types and associated with MSI in 5 cancer types, while there was a correlation between HSF2 expression and DNA methylation in 27 types of cancer. Additionally, HSF2 expression was correlated with immune cell infiltration, immune checkpoint genes, and the tumor immune microenvironment in various cancers, indicating that HSF2 could be a potential therapeutic target for immunotherapy. Our findings revealed the important roles of HSF2 across different cancer types.