Exosomes are nanoscale membrane vesicles identified by electron microscopy in 1946. They are approximately 30–150 nm in size. Originally, exosomes were thought to be used to eliminate excess components from cells to maintain their normal physiology. Later, it was found that the function and targeting of specific cellular components in exosomes have important implications for the regulation of cellular communication. In the last few years, exosomes have been linked to tumors, infections, and other diseases. New advances in cancer immunotherapy have occurred as a result of the identification of exosomes of immune cell origin, expanding the existing anticancer immune response. This article details exosomes derived from dendritic cells, T lymphocytes (CD4+ T cells, CD8+ T cells, and CAR‐T cells), natural killer cells, and their promising applications in tumor therapy.