Heat shock proteins (HSPs) are highly conserved molecular chaperones with divergent roles in various cellular processes. The HSPs are classified according to their molecular size as HSP27, HSP40, HSP60, HSP70, and HSP90. The HSPs prevent nonspecific cellular aggregation of proteins by maintaining their native folding energetics. The disruption of this vital cellular process, driven by the aberrant expression of HSPs, is implicated in the progression of several different carcinomas. Many HSPs are also actively involved in promoting the proliferation and differentiation of tumor cells, contributing to their metastatic phenotype. Upregulation of these HSPs is associated with the poor outcome of anticancer therapy in clinical settings. On the other hand, these highly expressed HSPs may be exploited as viable immunotherapeutic targets for different types of cancers. This review discusses recent advances and perspectives on the research of HSP-based cancer immunotherapy.