Exosomes are indispensable for intercellular communications. Tumor microenvironment (TME) is the living environment of tumor cells, which is composed of various components, including immune cells. Based on TME, immunotherapy has been recently developed for eradicating cancer cells by reactivating antitumor effect of immune cells. The communications between tumor cells and TME are crucial for tumor development, metastasis, and drug resistance. Exosomes play an important role in mediating these communications and regulating the reprogramming of TME, which affects the sensitivity of immunotherapy. Therefore, it is imperative to investigate the role of exosomes in TME reprogramming and the impact of exosomes on immunotherapy. Here, we review the communication role of exosomes in regulating TME remodeling and the efficacy of immunotherapy, as well as summarize the underlying mechanisms. Furthermore, we also introduce the potential application of the artificially modified exosomes as the delivery systems of antitumor drugs. Further efforts in this field will provide new insights on the roles of exosomes in intercellular communications of TME and cancer progression, thus helping us to uncover effective strategies for cancer treatment.