Among hematologic malignancies, the classic Philadelphia-negative chronic myeloproliferative neoplasms (MPNs) are considered a model of inflammation-related cancer development. In this context, the use of immune-modulating agents has recently expanded the MPN therapeutic scenario. Cytokines are key mediators of an auto-amplifying, detrimental cross-talk between the MPN clone and the tumor microenvironment represented by immune, stromal, and endothelial cells. This review focuses on recent advances in cytokine-profiling of MPN patients, analyzing different expression patterns among the three main Philadelphia-negative (Ph-negative) MPNs, as well as correlations with disease molecular profile, phenotype, progression, and outcome. The role of the megakaryocytic clone as the main source of cytokines, particularly in myelofibrosis, is also reviewed. Finally, we report emerging intriguing evidence on the contribution of host genetic variants to the chronic pro-inflammatory state that typifies MPNs.