Immune checkpoint blockade (ICB) has revolutionized cancer therapy but has had limited utility in several solid tumors such as breast cancer, a major cause of cancer-related mortality in women. Therefore, there is considerable interest in alternate strategies to promote an anti-cancer immune response. We demonstrate that NR0B2, a protein involved in cholesterol homeostasis, functions within myeloid immune cells to modulate the NLRP3 inflammasome and reduce the expansion of immune-suppressive regulatory T cells (Treg). Loss of NR0B2 increased mammary tumor growth and metastasis. Small molecule agonists, including one developed here, reduced Treg expansion, reduced metastatic growth and improved the efficacy of ICB. This work identifies NR0B2 as a target to re-educate myeloid immune cells providing proof-of-principle that this cholesterol-homeostasis axis may have utility in enhancing ICB.