During the development of a protective immune response, multiple immune regulatory mechanisms are generated in parallel to avoid the production of excessive and too long immune responses, which may lead to autoimmunity and tissue damage. Consequently, these immune regulatory mechanisms are essential for preserving the equilibrium and functionality of the immune system. However, in pathological context, especially during cancer development, the tight balance between protective immunity and regulatory processes is often broken, enhancing immune suppressive mechanisms. Myeloid-derived suppressor cells (MDSCs) are a heterogeneous population of myeloid cells that can be subdivided into monocytic MDSCs (M-MDSCs) and granulocytic/polymorphonuclear MDSCs (G- or PMN-MDSCs). Their role in immune regulation and suppression of anti-tumor immune responses and cancer pathogenesis is increasingly recognized, making them an attractive target for therapeutic interventions. Although recent technological progresses allowed to highlight different epigenetic, transcriptional, and metabolic programs among MDSC subsets, several crucial questions still remain about the nature, ontogeny, and functions of MDSCs. Here, we therefore describe and discuss key phenotypical and functional features of MDSCs in the context of cancer, as well as potential new therapies to target them.