Triggering receptor expressed on myeloid cells-2 (TREM2) is a transmembrane receptor of the immunoglobulin superfamily and a crucial signaling hub for multiple pathological pathways that mediate immunity. Although increasing evidence supports a vital role for TREM2 in tumorigenesis of some cancers, no systematic pan-cancer analysis of TREM2 is available. Thus, we aimed to explore the prognostic value, and investigate the potential immunological functions, of TREM2 across 33 cancer types. Based on datasets from The Cancer Genome Atlas, and the Cancer Cell Line Encyclopedia, Genotype Tissue-Expression, cBioPortal, and Human Protein Atlas, we employed an array of bioinformatics methods to explore the potential oncogenic roles of TREM2, including analyzing the relationship between TREM2 and prognosis, tumor mutational burden (TMB), microsatellite instability (MSI), DNA methylation, and immune cell infiltration of different tumors. The results show that TREM2 is highly expressed in most cancers, but present at low levels in lung cancer. Further, TREM2 is positively or negatively associated with prognosis in different cancers. Additionally, TREM2 expression was associated with TMB and MSI in 12 cancer types, while in 20 types of cancer, there was a correlation between TREM2 expression and DNA methylation. Six tumors, including breast invasive carcinoma, cervical squamous cell carcinoma and endocervical adenocarcinoma, kidney renal clear cell carcinoma, lung squamous cell carcinoma, skin cutaneous melanoma, and stomach adenocarcinoma, were screened out for further study, which demonstrated that TREM2 gene expression was negatively correlated with infiltration levels of most immune cells, but positively correlated with infiltration levels of M1 and M2 macrophages. Moreover, correlation with TREM2 expression differed according to T cell subtype. Our study reveals that TREM2 can function as a prognostic marker in various malignant tumors because of its role in tumorigenesis and tumor immunity.