Exosomes are membranous structures secreted by nearly all cell types. As critical messengers for intercellular communication, exosomes deliver bioactive cargoes to recipient cells and are involved in multiple physiopathological processes, including immunoregulation. Our pioneering study revealed that cancer cells release programmed death-ligand 1-positive exosomes into the circulation to counter antitumor immunity systemically via T cells. Tumor cell-derived exosomes (TDEs) also play an immunosuppressive role in other immunocytes, including dendritic cells (DCs), macrophages, natural killer (NK) cells, and myeloid-derived suppressor cells (MDSCs). Moreover, exosomes secreted by nontumor cells in the tumor microenvironments (TMEs) also exert immunosuppressive effects. This review systematically provides a summary of the immunosuppression induced by exosomes in tumor microenvironments, which modulates tumor growth, invasion, metastasis, and immunotherapeutic resistance. Additionally, therapeutic strategies targeting the molecular mechanism of exosome-mediated tumor development, which may help overcome several obstacles, such as immune tolerance in oncotherapy, are also discussed. Detailed knowledge of the specific functions of exosomes in antitumor immunity may contribute to the development of innovative treatments.