Immune modulators such as cytokines and growth factors exert their biological activity through high-affinity interactions with cell-surface receptors, thereby activating specific signaling pathways. However, many of these molecules also participate in low-affinity interactions with another class of molecules, referred to as proteoglycans. Proteoglycans consist of a protein core to which glycosaminoglycan (GAG) chains are attached. The GAGs are long, linear, sulfated, and highly charged heterogeneous polysaccharides that are expressed throughout the body in different forms, depending on the developmental or pathological state of the organ/organism. They participate in many biological functions, including organogenesis and growth control, cell adhesion, signaling, inflammation, tumorigenesis, and interactions with pathogens. Recently, it was demonstrated that certain chemokines require interactions with GAGs for their in vivo function. The GAG interaction is thought to provide a mechanism for retaining chemokines on cell surfaces, facilitating the formation of chemokine gradients. These gradients serve as directional cues to guide the migration of the appropriate cells in the context of their inflammatory, developmental, and homeostatic functions. In this review, we discuss GAGs and their interaction with proteins, with a special emphasis on the chemokine system.