Immune checkpoint inhibitors (ICIs) have been extensively used in immunological therapy primarily due to their ability to prolong patient survival. Although ICIs have achieved success in cancer treatment, the resistance of ICIs should not be overlooked. Ferroptosis is a newly found cell death mode characterized by the accumulation of reactive oxygen species (ROS), glutathione (GSH) depletion, and glutathione peroxidase 4 (GPX4) inactivation, which has been demonstrated to be beneficial to immunotherapy and combining ferroptosis and ICIs to exploit new immunotherapies may reverse ICIs resistance. Exosomes act as mediators in cell‐to‐cell communication that may regulate ferroptosis to influence immunotherapy through the secretion of biological molecules. Thus, utilizing exosomes to target ferroptosis has opened up exciting possibilities for reversing ICIs resistance. In this review, we summarize the mechanisms of ferroptosis improving ICIs therapy and how exosomes regulate ferroptosis through adjusting iron metabolism, blocking the ROS accumulation, controlling ferroptosis defense systems, and influencing classic signaling pathways and how engineered exosomes target ferroptosis and improve ICIs efficiency.