The protein tyrosine phosphatase PTPN22(C1858T) allelic polymorphism is associated with increased susceptibility for development of systemic lupus erythematosus (SLE) and other autoimmune diseases. PTPN22 (also known as LYP) and its mouse orthologue PEP play important roles in antigen and Toll-like receptor signaling in immune cell functions. We demonstrate here that PEP also plays an important inhibitory role in interferon-α receptor (IFNAR) signaling in mice. PEP co-immunoprecipitates with components of the IFNAR signaling complex. Pep^−/− hematopoietic progenitors demonstrate increased IFNAR signaling, increased IFN-inducible gene expression, and enhanced proliferation and activation compared to Pep^+/+ progenitors in response to IFN-α. In addition, Pep^−/− mice treated with IFN-α display a profound defect in hematopoiesis, resulting in anemia, thrombocytopenia, and neutropenia when compared to IFN-α–treated Pep^+/+ mice. As SLE patients carrying the PTPN22(C1858T) risk variant have higher serum IFN-α activity, these data provide a molecular basis for how type I IFNs and PTPN22 may cooperate to contribute to lupus-associated cytopenias.