Myeloproliferative neoplasms (MPN) are a group of clonal disorders that affect hematopoietic stem/progenitor cells. These disorders are often caused by oncogenic driver mutations associated with persistent Janus kinase (JAK)/signal transducer and activator of transcription (STAT) signaling. While JAK inhibitors, such as ruxolitinib, reduce MPN-related symptoms in myelofibrosis, they do not influence the underlying cause of the disease and are not curative. Due to these limitations, there is a need for alternative therapeutic strategies and targets. Heat shock proteins (HSPs) are cytoprotective stress-response chaperones involved in protein homeostasis and in many critical pathways, including inflammation. Over the last decade, several research teams have unraveled the mechanistic connection between STAT signaling and several HSPs, showing that HSPs are potential therapeutic targets for MPN. These HSPs include HSP70, HSP90 (chaperoning JAK2) and both HSP110 and HSP27, which are key factors modulating STAT3 phosphorylation status. Like the HSPs, the PD-1/PD-L1 signaling pathway has been widely studied in cancer, but the importance of PD-L1-mediated immune escape in MPN was only recently reported. In this review, we summarize the role of HSPs and PD-1/PD-L1 signaling, the modalities of their experimental blockade, and the effect in MPN. Finally, we discuss the potential of these emerging targeted approaches in MPN therapy.