The involvement of the prostaglandin E2 (PGE2) system in cancer progression has long been recognized. PGE2 functions as an autocrine and paracrine signaling molecule with pleiotropic effects in the human body. High levels of intratumoral PGE2 and overexpression of the key metabolic enzymes of PGE2 have been observed and suggested to contribute to tumor progression. This has been claimed for different types of solid tumors, including, but not limited to, lung, breast, and colon cancer. PGE2 has direct effects on tumor cells and angiogenesis that are known to promote tumor development. However, one of the main mechanisms behind PGE2 driving cancerogenesis is currently thought to be anchored in suppressed antitumor immunity, thus providing possible therapeutic targets to be used in cancer immunotherapies. EP2 and EP4, two receptors for PGE2, are emerging as being the most relevant for this purpose. This review aims to summarize the known roles of PGE2 in the immune system and its functions within the tumor microenvironment. SIGNIFICANCE STATEMENT: Prostaglandin E2 (PGE2) has long been known to be a signaling molecule in cancer. Its presence in tumors has been repeatedly associated with disease progression. Elucidation of its effects on immunological components of the tumor microenvironment has highlighted the potential of PGE2 receptor antagonists in cancer treatment, particularly in combination with immune checkpoint inhibitor therapeutics. Adjuvant treatment could increase the response rates and the efficacy of immune-based therapies.