Exosomes are excretory vesicles that can deliver a variety of bioactive cargo molecules to the extracellular environment. Accumulating evidence demonstrates exosome participation in intercellular communication, immune response, inflammatory response and they even play an essential role in affecting the tumor immune microenvironment. The role of exosomes in the immune microenvironment of ovarian cancer is mainly divided into suppression and stimulation. On one hand exosomes can stimulate the innate and adaptive immune systems by activating dendritic cells (DCs), natural killer cells and T cells, allowing these immune cells exert an antitumorigenic effect. On the other hand, ovarian cancer-derived exosomes initiate cross-talk with immunosuppressive effector cells, which subsequently cause immune evasion; one of the hallmarks of cancer. Exosomes induce the polarization of macrophages in M2 phenotype and induce apoptosis of lymphocytes and DCs. Exosomes further activate additional immunosuppressive effector cells (myeloid-derived suppressor cells and regulatory T cells) that induce fibroblasts to differentiate into cancer-associated fibroblasts. Exosomes also induce the tumorigenicity of mesenchymal stem cells to exert additional immune suppression. Furthermore, besides mediating the intercellular communication, exosomes carry microRNAs (miRNAs), proteins and lipids to the tumor microenvironment, which collectively promotes ovarian cancer cells to proliferate, invade and tumors to metastasize. Studying proteins, lipids and miRNAs carried by exosomes could potentially be used as an early diagnostic marker of ovarian cancer for designing treatment strategies.