Chronic inflammation in the tumor microenvironment and evasion of the antitumor effector immune response are two of the emerging hallmarks required for oncogenesis and cancer progression. The innate immune system not only plays a critical role in perpetuating these tumor-promoting hallmarks but also in developing antitumor adaptive immune responses. Thus, understanding the dual role of the innate system in cancer immunology is required for the design of combined immunotherapy strategies able to tackle established tumors. Here, we review recent advances in the understanding of the role of cell populations and soluble components of the innate immune system in cancer, with a focus on complement, the adapter molecule Stimulator of Interferon Genes, natural killer cells, myeloid cells, and B cells.