Pyroptosis, a type of regulated cell death, has been shown to be immunogenic in quite a few studies. Pyroptosis has been observed since 1986 and was found to be mediated by GSDM family proteins until recently. Gasdermines (GSDMs) are a group of intracellular proteins that mediates cell pyroptosis. Although GSDMs are expressed in inactive forms, some proteolytic enzymes can activate them. The N-terminus of activated GSDMs perforate the plasma membrane, resulting in cell lysis. Pyroptosis is a double-edged sword that is closely related to the tumor immune microenvironment. Pro-inflammatory molecules and DAMPs will be quickly and effectively released into the microenvironment from the pyroptotic cells, and trigger inflammation and immune response, while these immune responses are not always positive. Inductions of pyroptotic cell death have been shown to promote anti-tumor immunity and improve the efficacy of immune checkpoint inhibitors, which involves the cytotoxic effects of effector T lymphocytes, or reprogramming of the tumor microenvironment to an immunostimulatory state. In this review, we not only summarize the mechanisms of different types of pyroptosis and the key molecules that promote inflammatory and immune response during pyroptosis, but also compare its common features with apoptosis. In addition, we discuss the potential positive and negative factors to cancer therapy during pyroptosis. Although our understanding of pyroptosis in cancer is growing, many mechanisms remain unclear: how pyroptosis activates the immune system, how pyroptosis is regulated, and how pyroptosis can be harnessed therapeutically to improve cancer immunotherapy or to reduce therapy related toxicity. We hope this review will help further understanding the role of pyroptosis in tumor microenvironment and cancer immune therapy, promoting the improvement of cancer therapy strategies.