Heat shock proteins (hsps) can induce anti-cancer immune responses by targeting associated tumour antigens to the immune system. Hsps are not merely carriers of antigen but can also induce maturation of dendritic cells (DCs), resulting in a more efficient antigen presentation. However, improvement of hsp-based vaccines is still desirable if one is to realize their full therapeutic potential. Since the immune system consists of different elements functioning together in a highly integrated way, a combination therapy utilizing important immunomodulators together with hsp-based vaccination may improve therapeutic response. Hyperthermia has been shown to have important stimulatory effects on several cellular and organismal endpoints related to the immune system. This review highlights advantages and disadvantages of various ways of using stress proteins in cancer immunotherapy. It also overviews the interaction of hyperthermia with heat shock protein therapy and the related effects on the host's immune response.