Cholesterol metabolism produces essential membrane components as well as metabolites with a variety of biological functions. In the tumour microenvironment, cell-intrinsic and cell-extrinsic cues reprogram cholesterol metabolism and consequently promote tumourigenesis. Cholesterol-derived metabolites play complex roles in supporting cancer progression and suppressing immune responses. Preclinical and clinical studies have shown that manipulating cholesterol metabolism inhibits tumour growth, reshapes the immunological landscape and reinvigorates anti-tumour immunity. Here, we review cholesterol metabolism in cancer cells, its role in cancer progression and the mechanisms through which cholesterol metabolites affect immune cells in the tumour microenvironment. We also discuss therapeutic strategies aimed at interfering with cholesterol metabolism, and how the combination of such approaches with existing anti-cancer therapies can have synergistic effects, thus offering new therapeutic opportunities.