Exosomes are extracellular vesicles, 50-150 nm in diameter, released by most cells. Exosomes contain several intracellular components, including DNA, RNA, and proteins, which reflect the parent cell's status and contribute to intercellular communication. Cancers are associated with high morbidity and mortality rates worldwide. Owing to a high survival rate, cancer treatment by immune modulation of the tumor microenvironment has recently received a lot of attention. Exosomes' role in immunological control is also being studied extensively. Exosomes play a role in cancer-immune cell communication. Through intracellular communication, exosomes promote tumor growth, metastasis, angiogenesis, and drug resistance. In addition, innate immune cell-derived exosomes and adaptive immune cell exosomes have an anti-tumorigenic activity. Exosome-related tumor microenvironment drugs are being developed, including inhibitors of exosomal release, tumor-derived exosomes, and immune cell-derived exosome engineering, although there are still some obstacles to overcome. We describe in this review the significance of exosomes in the tumor microenvironment. We also summarize current studies on anticancer immune drug development and the challenges in developing exosome-related drugs.