Myeloproliferative diseases, including myeloproliferative neoplasms (MPN) and myelodysplastic syndromes (MDS), are driven by genetic abnormalities and increased inflammatory signaling and are at high risk to transform into acute myeloid leukemia (AML). Myeloid-derived suppressor cells were reported to enhance leukemia immune escape by suppressing an effective anti-tumor immune response. MPNs are a potentially immunogenic disease as shown by their response to interferon-α treatment and allogeneic hematopoietic stem-cell transplantation (allo-HSCT). Novel immunotherapeutic approaches such as immune checkpoint inhibition, tumor vaccination, or cellular therapies using target-specific lymphocytes have so far not shown strong therapeutic efficacy. Potential reasons could be the pro-inflammatory and immunosuppressive microenvironment in the bone marrow of patients with MPN, driving tumor immune escape. In this review, we discuss the biology of MPNs with respect to the pro-inflammatory milieu in the bone marrow (BM) and potential immunotherapeutic approaches.