MAX dimerization (MXD) protein 3 (MXD3) is a member of the MXD family of basic-helix-loop-helix-leucine-zipper (bHLHZ) transcription factors that plays pivotal roles in cell cycle progression and cell proliferation. However, there is insufficient scientific evidence on the pathogenic roles of MXD3 in various cancers and whether MXD3 plays a role in the immuno-oncology context of the tumor microenvironment, pathogenesis, prognosis, and therapeutic response of different tumors through certain common molecular mechanisms; thus, we saw a need to conduct the present in silico pan-cancer study. Using various computational tools, we interrogated the role of MXD3 in tumor immune infiltration, immune evasion, tumor progression, therapy response, and prognosis of cohorts from various cancer types. Our results indicated that MXD3 was aberrantly expressed in almost all The Cancer Genome Atlas (TCGA) cancer types and subtypes and was associated with the tumor stage, metastasis, and worse prognoses of various cohorts. Our results also suggested that MXD3 is associated with tumor immune evasion via different mechanisms involving T-cell exclusion in different cancer types and by tumor infiltration of immune cells in thymoma (THYM), liver hepatocellular carcinoma (LIHC), and head and neck squamous cell carcinoma (HNSC). Methylation of MXD3 was inversely associated with messenger (m)RNA expression levels and mediated dysfunctional T-cell phenotypes and worse prognoses of cohorts from different cancer types. Finally, we found that genetic alterations and oncogenic features of MXD3 were concomitantly associated with deregulation of the DBN1, RAB24, SLC34A1, PRELID1, LMAN2, F12, GRK6, RGS14, PRR7, and PFN3 genes and were connected to phospholipid transport and ion homeostasis. Our results also suggested that MXD3 expression is associated with immune or chemotherapeutic outcomes in various cancers. In addition, higher MXD3 expression levels were associated with decreased sensitivity of cancer cell lines to several mitogen-activated protein kinase kinase (MEK) inhibitors but led to increased activities of other kinase inhibitors, including Akt inhibitors. Interestingly, MXD3 exhibited higher predictive power for response outcomes and overall survival of immune checkpoint blockade sub-cohorts than three of seven standardized biomarkers. Altogether, our study strongly suggests that MXD3 is an immune-oncogenic molecule and could serve as a biomarker for cancer detection, prognosis, therapeutic design, and follow-up.