Even though genetic perturbations and mutations are important for the development of myeloid malignancies, the effects of an inflammatory microenvironment are a critical modulator of carcinogenesis. Activation of the innate immune system through various ligands and signaling pathways is an important driver of myelodysplastic syndromes (MDS) and acute myeloid leukemia (AML). The DAMPs, or alarmins, which activate the inflammasome pathway via the TLR4/NLR signaling cascade causes the lytic cell death of hematopoietic stem and progenitor cells (HSPCs), ineffective hematopoiesis, and β-catenin-induced proliferation of cancer cells, leading to the development of MDS/AML phenotype. It is also associated with other myeloid malignancies and involved in the pathogenesis of associated cytopenias. Ongoing research suggests the interplay of inflammasome mediators with immune modulators and transcription factors to have a significant role in the development of myeloid diseases, and possibly therapy resistance. This review discusses the role and importance of inflammasomes and immune pathways in myeloid malignancies, particularly MDS/AML, to better understand the disease pathophysiology and decipher the scope of therapeutic interventions.