The immune system plays a key role in cancer immune surveillance to control tumor development. The final goal is recognizing and killing transformed cells and consequently the elimination of the tumor. The main effector cell types exerting cytotoxicity against tumors are natural killer (NK) cells and cytotoxic T lymphocytes (CTLs). Although the mechanism of activation of NK cells and CTLs are quite different, both cell types share common antitumor effector mechanisms of cytotoxicity which lead to induction of cell death of tumor cells by apoptosis. Among these mechanisms are the death ligand- and granulysin-mediated cell deaths. In this review, we summarize the main concepts of these effector cytotoxic mechanisms against cancer cells, how NK cells and CTLs use them to control tumor development and the therapeutic approaches currently developed based on these molecules.