While cells from multicellular organisms are dependent upon exogenous signals for their survival, growth, and proliferation, commitment to a specific cell fate requires the correct folding and maturation of proteins, as well as the degradation of misfolded or aggregated proteins within the cell. This general control of protein quality involves the expression and the activity of molecular chaperones such as heat shock proteins (HSPs). HSPs, through their interaction with the STAT3/STAT5 transcription factor pathway, can be crucial both for the tumorigenic properties of cancer cells (cell proliferation, survival) and for the microenvironmental immune cell compartment (differentiation, activation, cytokine secretion) that contributes to immunosuppression, which, in turn, potentially promotes tumor progression. Understanding the contribution of chaperones such as HSP27, HSP70, HSP90, and HSP110 to the STAT3/5 signaling pathway has raised the possibility of targeting such HSPs to specifically restrain STAT3/5 oncogenic functions. In this review, we present how HSPs control STAT3 and STAT5 activation, and vice versa, how the STAT signaling pathways modulate HSP expression. We also discuss whether targeting HSPs is a valid therapeutic option and which HSP would be the best candidate for such a strategy.