Transforming growth factor-beta1 (TGF-β) regulates a plethora of cell-intrinsic processes that modulate tumor progression in a context-dependent manner. Thus, although TGF-β acts as a tumor suppressor in the early stages of tumorigenesis, in late stages, this factor promotes tumor progression and metastasis. In addition, TGF-β also impinges on the tumor microenvironment by modulating the immune system. In this aspect, TGF-β exhibits a potent immunosuppressive effect, which allows both cancer cells to escape from immune surveillance and confers resistance to immunotherapy. While TGF-β inhibits the activation and antitumoral functions of T-cell lymphocytes, dendritic cells, and natural killer cells, it promotes the generation of T-regulatory cells and myeloid-derived suppressor cells, which hinder antitumoral T-cell activities. Moreover, TGF-β promotes tumor-associated macrophages and neutrophils polarization from M1 into M2 and N1 to N2, respectively. Altogether, these effects contribute to the generation of an immunosuppressive tumor microenvironment and support tumor promotion. This review aims to analyze the relevant evidence on the complex role of TGF-β in cancer immunology, the current outcomes of combined immunotherapies, and the anti-TGF-β therapies that may improve the success of current and new oncotherapies.