Heat shock proteins (Hsp) were first characterized as intracellular proteins, which function to limit protein aggregation, facilitate protein refolding, and chaperone proteins. During times of cellular stress, intracellular Hsp levels increase to provide cellular protection. Recently, it has been recognized that Hsp, particularly Hsp72, are also found extracellularly (eHsp72), where they exhibit potent immunomodulatory effects on innate and acquired immunity. Circulating eHsp72 levels also greatly increase during times of stress (i.e., when an organism is exposed to a physical/psychological stressor or suffers from various pathological conditions). It has been proposed that elevated eHsp72 serves a protective role by facilitating immunological responses during times of increased risk of pathogenic challenge and/or tissue damage. This review focuses on the in vivo releasing signals and immunomodulatory function(s) of endogenous eHsp72. In addition, we present data that emphasize the importance of caution when conducting in vitro immunological tests of Hsp72 function.