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Over the last few decades a wealth of evidence has been gathered on the potential role that the immune system (IS) can play in the fight against cancer. Together with cell surface adhesion molecules, cytokines (CKs) mediate the activities of IS cells. Therefore, CK kinetics may represent a mirror of the immunologic phenomena occurring in the tumor microenvironment, where immune and malignant cells interact. Yet, CKs are currently used in a clinical setting to polarize the immune response against cancer. Despite the large amount of information available on IS physiology, little is known about the role of CKs in modulating the effectiveness of immunotherapy clinical trials aimed at the treatment of patients with cancer. This underscores our relative ignorance about the complex cascade of events that lead to tumor rejection. Here, we review the properties of some CKs believed to be particularly relevant to tumor immunology (i.e., interleukin [IL]-10, transforming growth factor-β, interferon-γ, IL-2, IL-4, and IL-12). We summarized the experience gained with these CKs in vitro, in animal models, and in human beings to illustrate the achievements, the controversies, and the challenges that characterize this fascinating field of oncology. In addition, we added a short section in which a broad view of CKs released in the tumor microenvironment is proposed to underline the variety of factors that contribute to the complexity of tumor-IS interactions.