Exosomes are abundantly secreted extracellular vesicles that accumulate in the circulation and are of great interest for disease diagnosis and evaluation since their contents reflects the phenotype of their cell of origin. Tumor‐derived exosomes (TDEs) are of particular interest for cancer diagnosis and therapy, since most tumor demonstrate highly elevated exosome secretion rates and provide specific information about the genotype of a tumor and its response to treatment. TDEs also contain regulatory factors that can alter the phenotypes of local and distant tissue sites and alter immune cell functions to promote tumor progression. The abundance, information content, regulatory potential, in vivo half‐life, and physical durability of exosomes suggest that TDEs may represent a superior source of diagnostic biomarkers and treatment targets than other materials currently under investigation. This review will summarize current information on mechanisms that may differentially regulate TDE biogenesis, TDE effects on the immune system that promote tumor survival, growth, and metastasis, and new approaches understudy to counteract or utilize TDE properties in cancer therapies.