Lung cancer is the leading cause of cancer-related death worldwide. Despite advances in diagnosis and treatment of lung cancer, the overall survival remains poor. Evidence indicates that lung cancer development is a complex and dynamic process that involves interactions between tumor cells and their microenvironments, including immune cells. Exosomes are small extracellular vesicles secreted by most cell types; they contain functional molecules that allow intercellular communication. Tumor-derived exosomes (TEXs) carry both immunosuppressive and immunostimulatory mediators and may be involved in various immunomodulatory effects. TEXs, which partially mimic profiles of the parent cells, are a potential source of cancer biomarkers for prognosis, diagnosis, and prediction of response to therapy. In addition, TEXs may interfere with immunotherapies, but they also could be used as adjuvants and antigenic components in vaccines against lung cancer. In the context of lung cancer, identifying TEXs and understanding their contribution to tumorigenesis and the response to immunotherapies represents a challenging research area.