The mounting of an effective immune response requires the coordinated function of both the innate and the adaptive arm of the immune system. Cells from both types of immunity respond to antigenic stimuli through a variety of surface and intracellular receptors and produce cytokines that tightly orchestrate the inflammatory response. The operation of feedback control mechanisms that regulate the duration and the amplitude of antigenic and cytokine receptor signaling is therefore required to prevent hyper-activation of the immune system that could lead to tissue destruction or autoimmunity. Suppressor of cytokine signaling (SOCS) proteins have been identified as a negative feedback loop to cytokine signaling. Recently, the generation of genetically engineered mouse models permitted the evaluation of their function in different processes of the immune responses. In this article, we review new insights into the modular structure of SOCS proteins and the function of SOCS1 and SOCS3 to negatively regulate activation and/or differentiation pathways in macrophages, dendritic cells, and T lymphocytes. Thus, SOCS family proteins are components of an emerging immunoregulatory mechanism that maintains the coordinated balance of both innate and adaptive immune responses.