Exosomes, the cell-derived small extracellular vehicles, play a vital role in intracellular communication by reciprocally transporting DNA, RNA, bioactive protein, chains of glucose, and metabolites. With great potential to be developed as targeted drug carriers, cancer vaccines and noninvasive biomarkers for diagnosis, treatment response evaluation, prognosis prediction, exosomes show extensive advantages of relatively high drug loading capacity, adjustable therapeutic agents release, enhanced permeation and retention effect, striking biodegradability, excellent biocompatibility, low toxicity, etc. With the rapid progression of basic exosome research, exosome-based therapeutics are gaining increasing attention in recent years. Glioma, the standard primary central nervous system (CNS) tumor, is still up against significant challenges as current traditional therapies of surgery resection combined with radiotherapy and chemotherapy and numerous efforts into new drugs showed little clinical curative effect. The emerging immunotherapy strategy presents convincing results in many tumors and is driving researchers to exert its potential in glioma. As the crucial component of the glioma microenvironment, tumor-associated macrophages (TAMs) significantly contribute to the immunosuppressive microenvironment and strongly influence glioma progression via various signaling molecules, simultaneously providing new insight into therapeutic strategies. Exosomes would substantially assist the TAMs-centered treatment as drug delivery vehicles and liquid biopsy biomarkers. Here we review the current potential exosome-mediated immunotherapeutics targeting TAMs in glioma and conclude the recent investigation on the fundamental mechanisms of diversiform molecular signaling events by TAMs that promote glioma progression.