Bone marrow, besides the known functions of hematopoiesis, is an active organ of the immune system, functioning as a sanctuary for several mature immune cells. Moreover, evidence suggests that hematopoietic stem cells (the bone marrow’s functional unit) are capable of directly sensing and responding to an array of exogenous stimuli. This chronic immune stimulation is harmful to normal hematopoietic stem cells, while essential for the propagation of myeloid diseases, which show a dysregulated immune microenvironment. The bone marrow microenvironment in myelodysplastic syndromes (MDS) is characterized by chronic inflammatory activity and immune dysfunction, that drive excessive cellular death and through immune evasion assist in cancer cell expansion. Acute myeloid leukemia (AML) is another example of immune response failure, with features that augment immune evasion and suppression. In this review, we will outline some of the functions of the bone marrow with immunological significance and describe the alterations in the immune landscape of MDS and AML that drive disease progression.