Heat shock proteins (Hsps) are highly conserved and inhabit nearly all subcellular locations where they perform a variety of chaperoning functions including folding and unfolding of nascent polypeptides, proteins, transport of proteins, and support of antigen presentation processes. Apart from their intracellular location Hsps with a molecular weight of 70 kDa (Hsp70) also have been found on the plasma membrane of malignantly transformed cells, on virally/bacterial infected cells and in the extracellular space. Depending on their intra- and extracellular location Hsps exert either protection against environmental stress or act as potent stimulators of the immune response. In this review we address the dual function of intracellular and extracellular located small Hsps and members of the Hsp70 family and its immunological consequences for cancer immunity.