Effective cancer therapies should reshape immunosuppression and trigger antitumor immunity. Previously, we developed a novel cryo-thermal therapy through applying local rapid cooling followed by rapid heating of tumor tissue. It could not only ablate local tumors, but also, subsequently, induce systemic long-term antitumor immunity. Hyperthermia can induce the release of extracellular vesicles (EVs) to stimulate antitumor immunity. We examine whether EVs are released after cryo-thermal therapy and whether they could improve the efficacy of cryo-thermal therapy in the 4T1 model. In this study, serum extracellular vesicles (sEVs) are isolated and characterized 3 h after cryo-thermal therapy of subcutaneous tumors. sEV phagocytosis is observed in vitro and in vivo by using laser confocal microscopy and flow cytometry. After cryo-thermal therapy, sEVs are administered to mice via the tail vein, and changes in immune cells are investigated by using flow cytometry. After cryo-thermal therapy, a large number of sEVs are released to the periphery carrying danger signals and tumor antigens, and these sEVs could be phagocytosed by peripheral blood monocytes and differentiated macrophages. After cryo-thermal therapy, supplementation with sEVs released after treatment promotes the differentiation of myeloid-derived suppressor cells (MDSCs), monocytes into macrophages and CD4+ T cells into the Th1 subtype, as well as prolonging the long-term survival of the 4T1 subcutaneous tumor-bearing mice. sEVs released after cryo-thermal tumor treatment could clinically serve as an adjuvant in subsequent cryo-thermal therapy to improve the therapeutic effects on malignant tumors.