Megakaryocytes (MKs), which are traditionally known for their role in platelet production, are now emerging as unique immune cells with diverse capabilities. They express immune receptors, participate in pathogen recognition and response, phagocytose pathogens, contribute to antigen presentation, and interact with various immune cell types. When encountering inflammatory challenges, MKs exhibit intricate immune functions that can either promote or inhibit inflammation. These responses are mediated through mechanisms, such as the secretion of either anti-inflammatory or pro-inflammatory cytokines and release of immunomodulatory platelets according to specific conditions. This intricate array of responses necessitates a detailed exploration to determine whether the immune functions of MKs are carried out by the entire MK population or by a specific subpopulation. Breakthroughs in single-cell RNA sequencing have uncovered a unique “immune MK” subpopulation, revealing its distinct characteristics and immunoregulatory functions. This review provides latest insights into MKs’ immune attributes and their roles in physiological and pathological contexts and emphasizes the discovery and functions of “immune MKs”.