Myelodysplastic syndromes (MDS) and acute myeloid leukemia (AML) are clonal hematopoietic stem cell diseases arising from the bone marrow (BM), and approximately 30% of MDS eventually progress to AML, associated with increasingly aggressive neoplastic hematopoietic clones and poor survival. Dysregulated immune microenvironment has been recognized as a key pathogenic driver of MDS and AML, causing high rate of intramedullary apoptosis in lower-risk MDS to immunosuppression in higher-risk MDS and AML. Immune checkpoint molecules, including programmed cell death-1 (PD-1) and programmed cell death ligand-1 (PD-L1), play important roles in oncogenesis by maintaining an immunosuppressive tumor microenvironment. Recently, both molecules have been examined in MDS and AML. Abnormal inflammatory signaling, genetic and/or epigenetic alterations, interactions between cells, and treatment of patients all have been involved in dysregulating PD-1/PD-L1 signaling in these two diseases. Furthermore, with the PD-1/PD-L1 pathway activated in immune microenvironment, the milieu of BM shift to immunosuppressive, contributing to a clonal evolution of blasts. Nevertheless, numerous preclinical studies have suggested a potential response of patients to PD-1/PD-L1 blocker. Current clinical trials employing these drugs in MDS and AML have reported mixed clinical responses. In this paper, we focus on the recent preclinical advances of the PD-1/PD-L1 signaling in MDS and AML, and available and ongoing outcomes of PD-1/PD-L1 inhibitor in patients. We also discuss the novel PD-1/PD-L1 blocker-based immunotherapeutic strategies and challenges, including identifying reliable biomarkers, determining settings, and exploring optimal combination therapies.