The annexin superfamily (ANXA) is made up of 12 calcium (Ca) and phospholipid binding protein members that have a high structural homology and play a key function in cancer cells. However, little research has been done on the annexin family's function in pan-cancer. We examined the ANXA family's expression in various tumors through public databases using bioinformatics analysis, assessed the differences in ANXA expression between tumor and normal tissues in pan-cancer, and then investigated the relationship between ANXA expression and patient survival, prognosis, and clinicopathologic traits. Additionally, we investigated the relationships among TCGA cancers' mutations, tumor mutation burden (TMB), microsatellite instability (MSI), immunological subtypes, immune infiltration, tumor microenvironment, immune checkpoint genes, chemotherapeutics sensitivity, and ANXAs expression. cBioPortal was also used to uncover pan-cancer genomic anomalies in the ANXA family, study relationships between pan-cancer ANXA mRNA expression and copy number or somatic mutations, and assess the prognostic values of these variations. Moreover, we investigated the relationship between ANXAs expression and effectiveness of immunotherapy in multiple cohorts, including one melanoma (GSE78220), one renal cell carcinoma (GSE67501), and three bladder cancer cohorts (GSE111636, IMvigor210 and our own sequencing dataset (TRUCE-01)), and further analyzed the changes of ANXAs expression before and after treatment (tislelizumab combined with nab-paclitaxel) of bladder cancer. Then, we explored the biological function and potential signaling pathway of ANXAs using gene set enrichment analysis (GSEA), and first conducted immune infiltration analysis with ANXAs family genes expression, copy number, or somatic mutations of bladder cancer by TIMER 2.0. Most cancer types and surrounding normal tissues expressed ANXA differently. ANXA expression was linked to patient survival, prognosis, clinicopathologic features, mutations, TMB, MSI, immunological subtypes, tumor microenvironment, immune cell infiltration, and immune checkpoint gene expression in 33 TCGA cancers, with ANXA family members varied. The anticancer drug sensitivity analysis showed that ANXAs family members were significantly related to a variety of drug sensitivities. In addition, we also discovered that the expression level of ANXA1/2/3/4/5/7/9/10 was positively or negatively correlated with objective responses to anti-PD-1/PD-L1 across multiple immunotherapy cohorts. The immune infiltration analysis of bladder cancer further showed the significant relationships between ANXAs copy number variations or mutation status, and infiltration level of different immune cells. Overall, our analyses confirm the importance of ANXAs expression or genomic alterations in prognosis and immunological features of various cancer and identified ANXA-associated genes that may serve as potential therapeutic targets.