Psoriasis is associated with many burdening comorbidities, which often share similar pathogenic features and follow a progressive pattern. Some of them, such as psoriatic arthritis (PsA) and cardiovascular diseases, are frequently delayed steps of the “psoriatic march,” mostly developing after the appereance of cutaneous lesions. Biological agents targeting tumor necrosis factor (TNF) constitute a relatively new and efficient approach to psoriasis. Enticing but somewhat unclear data are available regarding the effects of anti-TNFs on psoriasis comorbidities, ranging from pathomechanisms to clinical outcomes. The ability of anti-TNF drugs to inhibit the structural damage in PsA supports the feasibility of a preventive action on PsA development. In general, effective suppression of inflammation appears to have a key role in preventing some comorbidities. This article briefly reviews the current literature, evaluating possible effects of anti-TNF drugs on the natural history of psoriasis comorbidities. Although further studies are needed, noteworthy considerations can be drawn.