Chemokines are chemotactic cytokines that mediate immune cell chemotaxis and lymphoid tissue development. Recent advances have indicated that chemokines and their cognate receptors play critical roles in cancer-related inflammation and cancer progression. On the basis of these findings, the chemokine system has become a new potential drug target for cancer immunotherapy. In this review, we summarize the essential roles of the complex network of chemokines and their receptors in cancer progression. Furthermore, we discuss the potential value of the chemokine system as a cancer prognostic marker. The chemokine system regulates the infiltration of immune cells into the tumor microenvironment, which induces both pro- and anti-immunity and promotes or suppresses tumor growth and proliferation, angiogenesis, and metastasis. Increasing evidence indicates the promising prognostic value of the chemokine system in cancer patients. While CCL2, CXCL10, and CX3CL1/CX3CR1 can serve as favorable or unfavorable prognostic factors depending on the cancer types, CCL14 and XCL1 possess good prognostic value. Other chemokines such as CXCL1, CXCL8, and CXCL12 are poor prognostic markers. Despite vast advances in our understanding of the complex nature of the chemokine system in tumor biology, knowledge about the multifaceted roles of the chemokine system in different types of cancers is still limited. Further studies are necessary to decipher distinct roles within the chemokine system in terms of cancer progression and to validate their potential value in cancer prognosis.