The alteration of epigenetic modifications often causes cancer onset and development. In a similar way, aberrant alternative splicing may result in oncogenic products. These issues have often been individually reviewed, but there is a growing body of evidence for the interconnection of both causes of cancer. Actually, aberrant splicing may result from abnormal epigenetic signalization and epigenetic factors may be altered by alternative splicing. In this way, the interrelation between epigenetic marks and alternative splicing form the base of a triangle, while cancer may be placed at the vertex. The present review centers on the interconnections at the triangle base, i.e., between alternative splicing and epigenetic modifications, which may result in neoplastic transformations. The effects of different epigenetic factors, including DNA and histone modifications, the binding of non-coding RNAs and the alterations of chromatin organization on alternative splicing resulting in cancer are first considered. Other less-frequently considered questions, such as the epigenetic regulation of the splicing machinery, the aberrant splicing of epigenetic writers, readers and erasers, etc., are next reviewed in their connection with cancer. The knowledge of the above-mentioned relationships has allowed increasing the collection of biomarkers potentially useful as cancer diagnostic and/or prognostic tools. Finally, taking into account on one hand that epigenetic changes are reversible, and some epigenetic drugs already exist and, on the other hand, that drugs intended for reversing aberrations in alternative splicing, therapeutic possibilities for breaking the mentioned cancer-related triangle are discussed.