In our previous studies, a novel cryothermal therapy (CTT) was developed to induce systemic long-term anti-tumor immunity. Natural killer (NK) cells were found to play an important role in CTT-induced long-term immune-mediated tumor control at the late stage after CTT, but the underlying mechanism is unclear. Myeloid-derived suppressor cells (MDSCs) are immature myeloid cells that have potent immunosuppressive effects on T cells and weaken the long-term benefits of immunotherapy. Consequently, overcoming MDSC immunosuppression is essential for maintaining the long-term efficacy of immunotherapy. In this study, we revealed that NK cells considerably diminish MDSC accumulation at the late stage after CTT, boost T cell production, increase T cell activation, and promote MDSC maturation, culminating in Th1-dominant CD4+ T cell differentiation and enhancing NK and CD8+ T cell cytotoxicity. Additionally, NK cells activate ERK signaling in MDSCs through NKG2D-ligand interaction to increase the activity of tumor necrosis factor (TNF)-α converting enzyme (TACE)-cleaved membrane TNF-α. Furthermore, Increased TACE activity releases more soluble TNF-α from MDSCs to promote MDSC maturation. In our studies, we propose a novel mechanism by which NK cells can overcome MDSC-induced immunosuppression and maintain CTT-induced persistent anti-tumor immunity, providing a prospective therapeutic option to improve the performance of cancer immunotherapy.