Understanding factors that shape the immune landscape across hematological malignancies is essential for immunotherapy development. We integrated over 8,000 transcriptomes and 2,000 samples with multilevel genomics of hematological cancers to investigate how immunological features are linked to cancer subtypes, genetic and epigenetic alterations, and patient survival, and validated key findings experimentally. Infiltration of cytotoxic lymphocytes was associated with TP53 and myelodysplasia-related changes in acute myeloid leukemia, and activated B cell-like phenotype and interferon-γ response in lymphoma. CIITA methylation regulating antigen presentation, cancer type-specific immune checkpoints, such as VISTA in myeloid malignancies, and variation in cancer antigen expression further contributed to immune heterogeneity and predicted survival. Our study provides a resource linking immunology with cancer subtypes and genomics in hematological malignancies.