Exosomes are nanovesicles secreted into biofluids by various cell types and have been implicated in different physiological and pathological processes. Interestingly, a plethora of studies emphasized the mediating role of exosomes in the bidirectional communication between donor and recipient cells. Among the various cargoes of exosomes, long non-coding RNAs (lncRNAs) have been identified as crucial regulators between cancer cells and immune cells in the tumor microenvironment (TME) that can interfere with innate and adaptive immune responses to affect the therapeutic efficiency. Recently, a few major studies have focused on the exosomal lncRNA-mediated interaction between cancer cells and immune cells infiltrated into TME. Nevertheless, a dearth of studies pertains to the immune regulating role of exosomal lncRNAs in cancer and is still in the early stages. Comprehensive mechanisms of exosomal lncRNAs in tumor immunity are not well understood. Herein, we provide an overview of the immunomodulatory function of exosomal lncRNAs in cancer and treatment resistance. In addition, we also summarize the potential therapeutic strategies toward exosomal lncRNAs in TME.