Recently, immunotherapy has garnered increasing importance in cancer therapy, leading to substantial improvements in patient care and survival. By blocking the immune checkpoints—protein regulators of the immune system—immunotherapy prevents immune tolerance toward tumors and reactivates the immune system, prompting it to fight cancer cell growth and diffusion. A widespread strategy for this is the blockade of the interaction between PD-L1 and PD-1. However, while patients generally respond well to immunotherapy, a certain proportion of patients present tumors that resist these treatments. This portion can be very high in some cancers and hinders cancer curability. For this reason, current efforts are focusing on combining PD-1/PD-L1 immunotherapy with the targeting of other immune checkpoints to counter resistance and achieve better results. Exosomes, small vesicles secreted by almost any cell, including tumor cells, have proven to be key actors in this resistance. The exosomes released by tumor cells spread the immune-suppressive properties of the tumor throughout the tumor microenvironment and participate in establishing metastatic niches. In this review, we will describe immune checkpoints and immune modulators whose presence in tumor-derived exosomes (TEXs) has been established. We will focus on the most promising proteins under scrutiny for use in combination with PD-1 blockade therapy in a clinical setting, such as PD-L1, CTLA-4, TIM-3, CD73/39, LAG-3, and TIGIT. We will explore the immunosuppressive impact of these exosomal proteins on a variety of immune cells. Finally, we will discuss how they can change the game in immunotherapy and guide therapeutic decisions, as well as the current limits of this approach. Depending on the viewpoint, these exosomal proteins may either provide key missing information on tumor growth and resistance mechanisms or they may be the next big challenge to overcome in improving cancer treatment.