Over the past few decades, immunotherapy has emerged as a powerful strategy to overcome the limitations of conventional cancer treatments. The use of extracellular vesicles, particularly exosomes, which carry cargoes capable of modulating the immune response, has been extensively explored as a potential therapeutic approach in cancer immunotherapy. Exosomes can deliver their cargo to target cells, thereby influencing their phenotype and immunomodulatory functions. They exhibit either immunosuppressive or immune-activating characteristics, depending on their internal contents. These exosomes originate from diverse cell sources, and their internal contents can vary, suggesting that there may be a delicate balance between immune suppression and stimulation when utilizing them for immunotherapy. Therefore, a thorough understanding of the molecular mechanisms underlying the role of exosomes in cancer progression is essential. This review focuses on the molecular mechanisms driving exosome function and their impact on the tumor microenvironment (TME), highlighting the intricate balance between immune suppression and activation that must be navigated in exosome-based therapies. Additionally, it underscores the challenges and ongoing efforts to optimize exosome-based immunotherapies, thereby making a significant contribution to the advancement of cancer immunotherapy research.