Exosomes, known as a type of extracellular vesicles (EVs), are lipid particles comprising heterogeneous contents such as nucleic acids, proteins, and DNA. These bi-layered particles are naturally released into the extracellular periphery by a variety of cells such as neoplastic cells. Given that exosomes have unique properties, they can be used as vectors and carriers of biological and medicinal particles like drugs for delivering to the desired areas. The proteins and RNAs being encompassed by the circulating exosomes in B-cell malignancies are deemed as the promising sources for diagnostic and prognostic biomarkers, as well as therapeutic agents. Exosomes can also provide a “snapshot” view of the tumor and metastatic landscape at any particular time. Further, clinical research has shown that exosomes are produced by immune cells such as dendritic cells can stimulate the immune system, so these exosomes can be used in antitumor vaccines. Despite the great potential of exosomes in the fields of diagnostic and treatment, further studies are in need for these purposes to reach a convergence notion. This review highlights the applications of exosomes in multiple immune-related diseases, including chronic lymphocytic leukemia, multiple sclerosis, and arthritis rheumatoid, as well as explaining sundry aspects of exosome therapy and the function of exosomes in diagnosing diseases.