The myelodysplastic syndromes (MDS) constitute a group of heterogeneous clonal haemopoietic stem cell disorders, characterized by ineffective and dysplastic haematopoiesis with varying degrees of peripheral cytopenia. Low-risk MDS is characterized by increased apoptosis in the bone marrow (BM) with autoimmune characteristics whereas the advanced or high-risk stages involve immune evasion and secondary DNA damage, giving cells growth potential to progress into acute myeloid leukaemia (AML). Nevertheless, the causes of MDS remain poorly defined and it is not clear how the disease progresses from an early stage to advanced MDS and AML. Although there are clear indications for a role of the immune system, the exact mechanism by which the immune response contributes to the progression is not yet clear. New insights into the pathophysiology of MDS with regard to the immune system will be instrumental for the development of novel patient-oriented therapies. This review is focused on the role of immune responses in MDS and the implications for the development of novel immune therapies.