The importance of the bone marrow microenvironment forming the so-called niche in physiologic hemopoiesis is largely known, and recent evidences support the presence of stromal alterations from the molecular to the cytoarchitectural level in hematologic malignancies. Various alterations in cell adhesion, metabolism, cytokine signaling, autophagy, and methylation patterns of tumor-derived mesenchymal stem cells have been demonstrated, contributing to the genesis of a leukemic permissive niche. This niche allows both the ineffective haematopoiesis typical of myelodysplastic syndromes and the differentiation arrest, proliferation advantage, and clone selection which is the hallmark of acute myeloid leukemia. Furthermore, the immune system, both adaptive and innate, encompassing mesenchymal-derived cells, has been shown to take part to the leukemic niche. Here, we critically review the state of art about mesenchymal stem cell role in myelodysplastic syndromes and acute myeloid leukemia, focusing on immune escaping mechanisms as a target for available and future anticancer therapies.