Mesenchymal stem cells (MSCs) are being increasingly investigated as a therapeutic alternative, not only for their possible regenerative potential but also for their immunomodulatory action, which is being exploited for controlling diseases associated with inflammation. Understanding their direct and indirect target cells, as well as their mode of action and relevant pathways, is a prerequisite for the appropriate and optimal use of MSCs in therapy. Here, we review recent findings on the effects of MSCs on adaptive and innate immune cells. We also consider the impact of the environment on MSC profile, both anti- and proinflammatory, and the mechanisms and molecular pathways through which their effects are mediated, both at the MSC and target cell levels.