Immunosuppressive myeloid cells play a major role in cancer by negatively regulating immune responses, promoting tumor progression, and limiting the efficacy of cancer immunotherapy. Immunosuppression is mediated by various mechanisms dependent upon the type of myeloid cell involved. In recent years, a more universal mechanism of immunosuppressive activity of myeloid cells has emerged: Generation of oxidized lipids. Oxidized lipids accumulate in all types of myeloid cells and are often transferred between cells. In this review, we discuss mechanisms involved in the generation and biological role of myeloid cell–derived oxidized lipids in cancer.