Exosomes are small subtypes of extracellular vesicles (EVs) naturally released by different types of cells into their environment. Their physiological roles appear to be multiple, and many aspects of their biological activities remain to be understood. These vesicles can transport and deliver a variety of cargoes, including proteins, metabolites, nucleic acids, and lipids. Consequently, it is argued that exosomes may serve as unconventional secretory vesicles, playing a crucial role as important vectors for intercellular communication and the maintenance of homeostasis. Exosome production and content can vary under several stresses or modifications in the cell microenvironment, influencing cellular responses both qualitatively and quantitatively. Thus, the analysis of EVs from multiple biofluids, due to its ease of implementation, has become a booming tool for monitoring various pathologies, particularly cancer, as we shall outline further on. During infectious processes, exosomes are described as double-edged swords, displaying both beneficial and detrimental effects. Indeed, during a viral infection, the production of EVs and circulating exosomes is often enhanced to signal danger, stimulate immunity, and possibly serve as pathological biomarkers. Conversely, viruses can disrupt or hijack the exosome content and production. In this review, we discuss the particular and ambiguous functions of exosomes in infectious contexts. Furthermore, we explore the vectoring capacity of exosomes in light of the extensive literature examining their function in mounting adaptive immune responses. Exosomes provide an interesting platform for antigen presentation and could therefore serve as novel therapeutic targets or be used in vaccine strategies.