The prostaglandins constitute a family of lipids of 20 carbon atoms that derive from polyunsaturated fatty acids such as arachidonic acid. Traditionally, prostaglandins have been linked to inflammation, female reproductive cycle, vasodilation, or bronchodilator/bronchoconstriction. Recent studies have highlighted the involvement of these lipids in cancer. In this review, existing information on the prostaglandins associated with different types of cancer and the advances related to the potential use of them in neoplasm therapies have been analyzed. We can conclude that the effect of prostaglandins depends on multiple factors, such as the target tissue, their plasma concentration, and the prostaglandin subtype, among others. Prostaglandin D2 (PGD2) seems to hinder tumor progression, while prostaglandin E2 (PGE2) and prostaglandin F2 alpha (PGF2α) seem to provide greater tumor progression and aggressiveness. However, more studies are needed to determine the role of prostaglandin I2 (PGI2) and prostaglandin J2 (PGJ2) in cancer due to the conflicting data obtained. On the other hand, the use of different NSAIDs (non-steroidal anti-inflammatory drugs), especially those selective of COX-2 (cyclooxygenase 2), could have a crucial role in the fight against different neoplasms, either as prophylaxis or as an adjuvant treatment. In addition, multiple targets, related to the action of prostaglandins on the intracellular signaling pathways that are involved in cancer, have been discovered. Thus, in depth research about the prostaglandins involved in different cancer and the different targets modulated by them, as well as their role in the tumor microenvironment and the immune response, is necessary to obtain better therapeutic tools to fight cancer.