Transforming growth factor Beta (TGF-Beta) family members are polypeptidic cytokines with pleiotropic physiological properties. In relation to cancer, TGF-Beta exerts a dual tumour-suppressive and oncogenic effect, which is largely dependent on microenvironment stimuli. After activation of TGF-Beta signalling, two pathways can be activated: the canonical one through the mammalian Smad family or the non-canonical one activating, among others, the cellular mitogen-activated protein kinase (MAPK) signalling downstream, which interacts with Smad signalling. During tumorigenesis, cells of many cancer types often lose their response to the tumour-suppressive effects of TGF-Beta, which, in turn, has the opposite effect, acting as an autocrine tumour-promoting factor. In this review, we summarise the current knowledge about this intriguing cytokine, with special emphasis on its immunosuppressive actions.