The myeloid cellular compartment comprises monocytes, dendritic cells (DCs), macrophages and granulocytes. As diverse as this group of cells may be, they are all an important part of the innate immune system and are therefore linked by the necessity to be acutely sensitive to their environment and to rapidly and appropriately respond to any changes that may occur. The nuclear orphan receptors NR4A1, NR4A2 and NR4A3 are encoded by immediate early genes as their expression is rapidly induced in response to various signals. It is perhaps because of this characteristic that this family of transcription factors has many known roles in myeloid cells. In this review, we will regroup and discuss the diverse roles NR4As have in different myeloid cell subsets, including in differentiation, migration, activation, and metabolism. We will also highlight the importance these molecules have in the development of myeloid leukemia.