CD8⁺ T cells are crucial for antitumor immunity. However, their functionality is often altered in higher-risk myelodysplastic neoplasms (MDS) and acute myeloid leukemia (AML). To understand their role in disease progression, we conducted a comprehensive immunophenotypic analysis of 104 pretreatment bone marrow (BM) samples using mass and flow cytometry. Our findings revealed an increased frequency of CD57⁺CXCR3⁺ subset of CD8⁺ T cells in patients who did not respond to azacitidine (AZA) therapy. Furthermore, an increased baseline frequency (>29%) of the CD57⁺CXCR3⁺CD8⁺ T-cell subset was correlated with poor overall survival. We performed single-cell RNA sequencing to assess the transcriptional profile of BM CD8⁺ T cells from treatment-naïve patients. The response to AZA was linked to an enrichment of IFN-mediated pathways, whereas nonresponders exhibited a heightened TGF-β signaling signature. These findings suggest that combining AZA with TGF-β signaling inhibitors targeting CD8⁺ T cells could be a promising therapeutic strategy for patients with higher-risk MDS and AML.