In the initial stage, exosome production begins with double invagination of the cell membrane and the formation of early endosomes after endocytosis of intracellular and extracellular components. [8] Early endosomes selectively package specific nucleic acids, lipids, proteins, and other biological contents by special mechanisms such as by endosomal sorting complexes required for transport. Heterogeneous nuclear ribonucleoprotein A2B1 (hnRNPA2B1) has been reported to participate in the loading of exosomes with miRNAs that contain a special sequence motif. [9] Sphingosine phosphate (SP1) is a lipid generated by the phosphorylation of sphingosine by sphingosine kinase 1 and 2 (Sphk1, Sphk2), which have been reported to regulate the sorting of components (such as CD63 and flotillin) into exosomes by suppressive G protein-coupled S1P receptors located on the membranes of late endosomes. [10] Mature endosomes containing cargo are referred to as multivesicular bodies (MVBs). Consequently, MVBs are selectively processed and assembled in the Golgiosome or are degraded in lysosomes. After appropriate processing, MVBs are released by cells via exocytosis, at which point they become exosomes. [11] Apparently, molecules involved in membrane fusion such as soluble N-ethylmaleimide-sensitive factor attachment protein receptors (SNAREs), Rabs, tethering factors, and other Ras GTPases play an important role in exosome release. [12,13] For instance, Rab5a/Rab9a/Rab27a/Rab27b of the Rab family of GTPases and Rho/Rac/cdc42 have been reported to promote exosome release. [14,15] YKT6 (a type of SNARE) is also necessary for exosome release and is closely related to the expression of TSG101 and Wnt3a. [16] Surface molecules on the membrane of exosomes are often similar to host cell surface molecules, which indicates that some exosome functions might correspond with those of host cells. [17] In this review, we will focus on the effects of natural and engineered exosomes in cancer therapy and provide new ideas and strategies for exosome application. 1.1. Cancer Immunity and Immunotherapy Tumor tissues have a high degree of genetic instability and heterogeneity. [18] After long-term immune selection, tumor cells that are weakly antigenic can escape immune surveillance and develop into predominant subpopulations. By altering the Exosomes, which are small lipid bilayer vesicles that can be released by multiple cell types, mediate communication between cells by transporting nucleic acids, proteins, and other bioactive molecules. Pioneering studies have revealed that exosomes can exert multiple functions in shaping tumor immune responses in the crosstalk between tumor cells and surrounding immune cells. Emerging studies have also demonstrated the powerful function of engineered exosomes in cancer immunotherapy. Here, the recent progress in this field and focus on exosomes as mediators, drug carriers, and prognostic biomarkers in tumor immunotherapy is summarized. This review not only summarizes the progress of this field, but also provides ins...