Exosomes are a kind of nanometric membrane vesicles and can be released by almost all kinds of cells, including cancer cells. As the important mediators in intercellular communications, exosomes mediate exchange of protein and genetic material derived from parental cells. Emerging evidences show that exosomes secreted by either host cells or cancer cells are involved in tumor initiation, growth, invasion and metastasis. Moreover, communications between immune cells and cancer cells via exosomes play dual roles in modulating tumor immunity. In this review, we focus on exosome-mediated immunosuppression via inhibition of antitumor responses elicited by immune cells (DCs, NK cells, CD4+ and CD8+ T cells, etc.) and induction of immunosuppressive or regulatory cell populations (MDSCs, Tregs and Bregs). Transfer of cytokines, microRNAs (miRNAs) and functional mRNAs by tumor-derived exosomes (TEXs) is crucial in the immune escape. Furthermore, exosomes secreted from several kinds of immune cells (DCs, CD4+ and CD8+ Tregs) also participate in immunosuppression. On the other hand, we summarize the current application of DC-derived and modified tumor-derived exosomes as tumor vaccines. The potential challenges about exosome-based vaccines for clinical application are also discussed.