NR4A family genes play crucial roles in cancers. However, the role of NR4A family genes in cancers remains paradoxical as they promote or suppress tumorigenesis. We aimed to conduct comprehensive analyses of the association between the expression of NR4A family genes and tumor microenvironment (TME) based on bioinformatics methods. We collected RNA-seq data from 33 cancer types and 20 normal tissue sites from the TCGA and GTEx databases. Expression patterns of NR4A family genes and their associations with DNA methylation, miRNA, overall survival, drug responses, and tumor microenvironment were investigated. Significant downregulation of all NR4A family genes was observed in 15 cancer types. DNA promoter methylation and expression of NR4A family genes were negatively correlated in five cancers. The expression of 10 miRNAs targeting NR4A family genes was negatively correlated with the expression of NR4A family genes. High expression of all NR4A family genes was associated with poor prognosis in stomach adenocarcinoma and increased expressions of NR4A2 and NR4A3 were associated with poor prognosis in adrenocortical carcinoma. In addition, we found an elevated expression of NR4A2, which enhances the response to various chemotherapeutic drugs, whereas NR4A3 decreases drug sensitivity. Interestingly, in breast cancer, NR4A3 was significantly associated with C2 (IFN-γ dominant), C3 (inflammatory), and C6 (TGF-β dominant) immune subtypes and infiltrated immune cell types, implying both oncogenic and tumor-suppressive functions of NR4A3 in breast cancer. The NR4A family genes have the potential to serve as a diagnostic, prognostic, and immunological marker of human cancers.