Loss of the Y chromosome (LOY) in peripheral blood mononuclear cells (PBMCs) is the most common somatic alteration in men and is associated with higher mortality from epithelial cancers. In tumours, epithelial LOY is also associated with poor survival. This raises several fundamental questions, such as why LOY in PBMCs drives cancer mortality and whether there is a relationship between LOY in PBMCs, PBMC-derived immune cells and cancer cells (and, if so, what its consequences are). We sought to answer these questions through a comprehensive pan-cancer analysis of bulk and single-cell RNA sequencing data from 29 human tumour types, along with autochthonous and syngeneic mouse models. In human and mouse tumours, malignant epithelial cells had the highest LOY prevalence, yet LOY was also present in tumour stromal and immune cells, with LOY in malignant epithelial cells predicting LOY in benign cells. LOY also correlated between paired tumour and PBMC samples from patients. Among benign cells, LOY induced the strongest shift in CD4 and CD8 T cells, with both showing transcriptomic signatures of immunosuppression. Furthermore, the magnitude of LOY in epithelial cells, CD4 T cells and CD8 T cells independently predicts survival, with tumours exhibiting concurrent epithelial and T cell LOY having the worst outcomes. Here we establish a model that links LOY in immune cells to LOY in malignant cells, which may explain in part why LOY in PBMCs is associated with increased cancer mortality.