Extracellular vesicles (EVs), a heterogeneous population of membrane vesicles, are secreted by almost all living cells and contain different proteins, lipids and nucleic acid depending on their sources. Recently, numerous reports indicated EVs could interact with diverse cells in tumor microenvironment and influence both physiological and pathological conditions. Given that EVs regulate tumor immune microenvironment, EVs-based strategies are explored for anti-tumor immunotherapy. In this review, about nine kinds of EVs derived from diverse cells are indicated. The biological functions in tumor immunity, strategies for anti-tumor immunotherapy and further clinical trials of these EVs will be introduced in detail.