Thyroid tumors are extremely heterogeneous varying from almost benign tumors with good prognosis as papillary or follicular tumors, to the undifferentiated ones with severe prognosis. Recently, several models of thyroid carcinogenesis have been described, mostly hypothesizing a major role of the thyroid cancer stem cell (TCSC) population in both cancer initiation and metastasis formation. However, the cellular origin of TCSC is still incompletely understood. Here, we review the principal epigenetic mechanisms relevant to TCSC origin and maintenance in both well-differentiated and anaplastic thyroid tumors. Specifically, we describe the alterations in DNA methylation, histone modifiers, and microRNAs (miRNAs) involved in TCSC survival, focusing on the potential of targeting aberrant epigenetic modifications for developing novel therapeutic approaches. Moreover, we discuss the bidirectional relationship between TCSCs and immune cells. The cells of innate and adaptive response can promote the TCSC-driven tumorigenesis, and conversely, TCSCs may favor the expansion of immune cells with protumorigenic functions. Finally, we evaluate the role of the tumor microenvironment and the complex cross-talk of chemokines, hormones, and cytokines in regulating thyroid tumor initiation, progression, and therapy refractoriness. The re-education of the stromal cells can be an effective strategy to fight thyroid cancer. Dissecting the genetic and epigenetic landscape of TCSCs and their interactions with tumor microenvironment cells is urgently needed to select more appropriate treatment and improve the outcome of patients affected by advanced differentiated and undifferentiated thyroid cancers.