Heat shock proteins (HSP) are molecular chaperones implicated in facilitation of protein folding and translocation between distinct compartments, and hence in preventing protein from aggregation. In terms of proteolysis, HSP act as a double-edged sword, stimulating proteasome-dependent proteolysis while preventing the degradation of the same proteins, even though in both cases association of unfolded proteins with HSP is the initial step. The proteasomal degradation products are utilised as ligands of major histocompatibility complex (MHC) class I molecules to be recognised by CD8(+) T cells, leading to activation of cytotoxic T cell immunity indispensable in fighting virus infections and cancers. In this context, HSP-mediated antigen traffic towards proteasomal degradation is coupled with acquired T cell immunity. In addition, exogenous antigens internalised by dendritic cells (DC) are also forwarded to the proteasome, possibly through the ER-associated degradation (ERAD) system, based on the fusion of the ER-membrane to the endosome containing the antigens. Thus, antigens within endosomes might be translocated to the cytosol, possibly through the Sec61 complex recruited from ER and degraded by the proteasome, rendering their peptides presentable by MHC class I molecules, a process known as cross-presentation. Since binding protein (Bip) facilitates degradation of most ER luminal soluble proteins in yeast, it is possible that endosomal HSP in DC, mimicking the action of Bip, facilitate the degradation of internalised soluble antigens. This may explain why the HSP-peptide/protein complex is extremely efficient in terms of cross-presentation ability. In this review, we discuss how HSP are linked to the ubiquitin-dependent proteasome system to generate peptides presentable by MHC molecules.