Exosomes have a crucial role in intercellular communication and mediate interactions between tumor cells and tumor-associated macrophages (TAMs). Exosome-encapsulated non-coding RNAs (ncRNAs) are involved in various physiological processes. Tumor-derived exosomal ncRNAs induce M2 macrophage polarization through signaling pathway activation, signal transduction, and transcriptional and post-transcriptional regulation. Conversely, TAM-derived exosomal ncRNAs promote tumor proliferation, metastasis, angiogenesis, chemoresistance, and immunosuppression. MicroRNAs induce gene silencing by directly targeting mRNAs, whereas lncRNAs and circRNAs act as miRNA sponges to indirectly regulate protein expressions. The role of ncRNAs in tumor-host interactions is ubiquitous. Current research is increasingly focused on the tumor microenvironment. On the basis of the "cancer-immunity cycle" hypothesis, we discuss the effects of exosomal ncRNAs on immune cells to induce T cell exhaustion, overexpression of programmed cell death ligands, and create a tumor immunosuppressive microenvironment. Furthermore, we discuss potential applications and prospects of exosomal ncRNAs as clinical biomarkers and drug delivery systems.