Systemic auto-inflammatory or autoimmune diseases (SIADs) develop in up to a quarter of patients with myelodysplastic syndromes (MDS) or chronic myelomonocytic leukemia (CMML). With or without the occurrence of SIADs, the distribution of MDS subtypes and the international or CMML-specific prognostic scoring systems have been similar between MDS/CMML patients. Moreover, various SIADs have been described in association with MDS, ranging from limited clinical manifestations to systemic diseases affecting multiple organs. Defined clinical entities including systemic vasculitis, connective tissue diseases, inflammatory arthritis and neutrophilic diseases are frequently reported; however, unclassified or isolated organ impairment can also be seen. Although the presence of SIADs does not impact the overall survival nor disease progression to acute myeloid leukemia, they can help with avoiding steroid dependence and make associated adverse events of immunosuppressive drugs challenging. While therapies using steroids and immunosuppressive treatment remain the backbone of first-line treatment, increasing evidence suggests that MDS specific therapy (hypomethylating agents) and sparing steroids may be effective in treating such complications based on their immunomodulatory effect. The aim of this review was to analyze the epidemiological, pathophysiological, clinical and therapeutic factors of systemic inflammatory and immune disorders associated with MDS.