Hepatocellular carcinoma (HCC) has become a challenging disease in the world today. Due to the limitations on the current diagnosis and treatment as well as its high metastatic ability and high recurrence rate, HCC gradually becomes the second deadliest tumor. Exosomes are one of the types of cell-derived vesicles and can carry intracellular materials such as genetic materials, lipids, and proteins. In recent years, it has been verified that exosomes are linked to numerous physiological and pathological processes, including HCC. However, how exosomes affect HCC progression remains largely unknown. In this review, the exosome-mediated cellular material transfer between cells of different types in the HCC microenvironment and their effects on the behaviors and functions of recipient cells are studied. Furthermore, we also addressed the underlying molecular mechanisms. We believe that new light on the diagnosis of this cancer as well as its treatment strategies will be shed after a collation of literature in this area.