Heat shock proteins (HSPs) play an important role as 'endogenous danger signals' in the immune surveillance system. Extracellular HSPs released from damaged cells can stimulate professional antigen-presenting cells, followed by cytokine release and expression of cell surface molecules. In addition to such activity stimulating innate immunity, extracellular HSPs can promote the cross-presentation of HSP-bound peptide antigens to MHC class I molecules in dendritic cells, leading to efficient induction of antigen-specific cytotoxic T-lymphocytes. The roles of HSPs stimulating both innate immunity and adaptive immunity can explain at least in part the molecular mechanism by which thermal stress bolsters the host immune system. In the present review, we present novel aspects of the roles of HSPs in immunity and discuss the therapeutic application of hyperthermia for immunomodulation.