Phospholipid Hydroperoxide Gluthatione Peroxidase also called Glutathione Peroxidase 4 is one of the 25 described human selenoproteins. It plays an essential role in eliminating toxic lipid hydroxy peroxides, thus inhibiting ferroptosis and favoring cell survival. GPX4 is differentially expressed according to myeloid differentiation stage, exhibiting lower expression in hematopoietic stem cells and polymorphonuclear leucocytes, while harboring higher level of expression in common myeloid progenitors and monocytes. In addition, GPX4 is highly expressed in most of acute myeloid leukemia (AML) subtypes compared to normal hematopoietic stem cells. High GPX4 expression is consistently correlated to poor prognosis in patients suffering AML. However, the role of GPX4 in the development of the myeloid lineage and in the initiation and progression of myeloid leukemia remains poorly explored. Given its essential role in the detoxification of lipid hydroperoxides, and its overexpression in most of myeloid malignancies, GPX4 inhibition has emerged as a promising therapeutic strategy to specifically trigger ferroptosis and eradicate myeloid leukemia cells. In this review, we describe the most recent advances concerning the role of GPX4 and, more generally ferroptosis in the myeloid lineage and in the emergence of AML. We also discuss the therapeutic interest and limitations of GPX4 inhibition alone or in combination with other drugs as innovative therapies to treat AML patients.