The ubiquitin-proteasome system (UPS) degrades intracellular proteins into peptide fragments that can be presented by major histocompatibility complex (MHC) class I molecules. While the UPS is functional in all mammalian cells, its subunit composition differs depending on cell type and stimuli received. Thus, cells of the hematopoietic lineage and cells exposed to (pro)inflammatory cytokines express three proteasome immunosubunits, which form the catalytic centers of immunoproteasomes, and the proteasome activator PA28. Cortical thymic epithelial cells express a thymus-specific proteasome subunit that induces the assembly of thymoproteasomes. We here review new developments regarding the role of these different proteasome components in MHC class I antigen processing, T cell repertoire selection and CD8 T cell responses. We further discuss recently discovered functions of proteasomes in peptide splicing, lymphocyte survival and the regulation of cytokine production and inflammatory responses.