Extracellular vesicles (EVs) produced by various immune cells, including B and T cells, macrophages, dendritic cells (DCs), natural killer (NK) cells, and mast cells, mediate intercellular communication and have attracted much attention owing to the novel delivery system of molecules in vivo. DCs are among the most active exosome-secreting cells of the immune system. EVs produced by cancer cells contain cancer antigens; therefore, the development of vaccine therapy that does not require the identification of cancer antigens using cancer-cell-derived EVs may have significant clinical implications. In this review, we summarise the molecular mechanisms underlying EV-based immune responses and their therapeutic effects on tumour vaccination.