Myelodysplasias with hypocellular bone marrow (hMDS) represent about 10–15% of MDS and are defined by reduced bone marrow cellularity (i.e., <25% or an inappropriately reduced cellularity for their age in young patients). Their diagnosis is still an object of debate and has not been clearly established in the recent WHO classification. Clinical and morphological overlaps with both normo/hypercellular MDS and aplastic anemia include cytopenias, the presence of marrow hypocellularity and dysplasia, and cytogenetic and molecular alterations. Activation of the immune system against the hematopoietic precursors, typical of aplastic anemia, is reckoned even in hMDS and may account for the response to immunosuppressive treatment. Finally, the hMDS outcome seems more favorable than that of normo/hypercellular MDS patients. In this review, we analyze the available literature on hMDS, focusing on clinical, immunological, and molecular features. We show that hMDS pathogenesis and clinical presentation are peculiar, albeit in-between aplastic anemia (AA) and normo/hypercellular MDS. Two different hMDS phenotypes may be encountered: one featured by inflammation and immune activation, with increased cytotoxic T cells, increased T and B regulatory cells, and better response to immunosuppression; and the other, resembling MDS, where T and B regulatory/suppressor cells prevail, leading to genetic clonal selection and an increased risk of leukemic evolution. The identification of the prevailing hMDS phenotype might assist treatment choice, inform prognosis, and suggest personalized monitoring.