Heat shock proteins (HSPs) have been reported to stimulate the immune system via innate receptors. However, the role of HSPs as endogenous adjuvants has been challenged by reports claiming that pure HSPs are not innate ligands; it is only the bacterial molecules trapped by the HSPs that can signal the innate immune system. In this review, we discuss data suggesting that both views, in essence, are correct; pure HSPs are indeed innate immunostimulators, but HSPs can also function as transducers of pathogen signals. In other words, HSPs perform diverse functions in two alternative modes of inflammation: sterile inflammation, which results from endogenous stimuli and is necessary for body maintenance, and septic inflammation, which protects us from environmental pathogens. Endogenous HSPs are key players in the modulation of these two modes of inflammation, and as such, they are potential targets for new and more efficient therapies for cancer, infections, and autoimmunity.