Exosomes are nano-scale extracellular vesicles that are found widely in various biological fluids. As messengers, exosomes deliver characteristic biological information from donor cells, facilitating their accumulation and subsequent transfer of information to tumor immune cells. Immunotherapy is a cutting-edge strategy for cancer therapy, but it has not yet reached its full potential owing to severe side effects and limited efficacy. Exosomes possess antigens and immunostimulatory molecules and can serve as cell-free vaccines to induce antitumor immunity. In addition, given their stability, low immunogenicity, and targeting ability, exosomes represent ideal drug delivery systems in tumor immunotherapy by delivering cargoes, including non-coding ribonucleic acids (RNAs), membrane proteins, chemotherapeutic agents, and immune cell death inducers. Exosomes can also be engineered to precisely target tumor cells. However, as a rising star in tumor immunotherapy, exosomes are also impeded by some challenges, including the lack of uniform technical standards for their isolation and purification, the need to improve exosomal cargo loading for efficient exosome delivery, and the expansion of clinical trials, which are currently in their infancy. Long-term, multi-center, and large-scale clinical trials are needed to evaluate the performance of exosomes in the future. Nonetheless, exosomes have demonstrated encouraging performance in tumor immunotherapy. In this review, we summarize the potential and challenges of exosomes in tumor immunotherapy, with the aim to shed light on exosomes as new-era tumor immunotherapy tools.