(1) Background: Notwithstanding numerous therapeutic advances, 176,000 deaths from breast and lung cancers will occur in the United States in 2021 alone. The tumor microenvironment and its modulation by drugs have gained increasing attention and relevance, especially with the introduction of immunotherapy as a standard of care in clinical practice. Retinoid X receptors (RXRs) are members of the nuclear receptor superfamily and upon ligand binding, function as transcription factors to modulate multiple cell functions. Bexarotene, the only FDA-approved RXR agonist, is still used to treat cutaneous T-cell lymphoma. (2) Methods: To test the immunomodulatory and anti-tumor effects of MSU42011, a new RXR agonist, we used two different immunocompetent murine models (MMTV-Neu mice, a HER2 positive model of breast cancer and the A/J mouse model, in which vinyl carbamate is used to initiate lung tumorigenesis) and an immunodeficient xenograft lung cancer model. (3) Results: Treatment of established tumors in immunocompetent models of HER2-positive breast cancer and Kras-driven lung cancer with MSU42011 significantly decreased the tumor burden and increased the ratio of CD8/CD4, CD25 T cells, which correlates with enhanced anti-tumor efficacy. Moreover, the combination of MSU42011 and immunotherapy (anti-PDL1 and anti-PD1 antibodies) significantly (p < 0.05) reduced tumor size vs. individual treatments. However, MSU42011 was ineffective in an athymic human A549 lung cancer xenograft model, supporting an immunomodulatory mechanism of action. (4) Conclusions: Collectively, these data suggest that the RXR agonist MSU42011 can be used to modulate the tumor microenvironment in breast and lung cancer.