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 insights and perspectives on exosome-based strategies in cancer immunotherapy.