The innate immune system plays a crucial role in the host defense against viral and microbial infection. Exosomes constitute a subset of extracellular vesicles (EVs) that can be released by almost all cell types. Owing to their capacity to shield the payload from degradation and to evade recognition and subsequent removal by the immune system, exosomes efficiently transport functional components to recipient cells. Accumulating evidence has recently shown that exosomes derived from tumor cells, host cells and even bacteria and parasites mediate the communication between the invader and innate immune cells and thus play an irreplaceable function in the dissemination of pathogens and donor cell-derived molecules, modulating the innate immune responses of the host. In this review, we describe the current understanding of EVs (mainly focusing on exosomes) and summarize and discuss their crucial roles in determining innate immune responses. Additionally, we discuss the potential of using exosomes as biomarkers and cancer vaccines in diagnostic and therapeutic applications.