Lung cancer remains the leading cause of cancer-related deaths globally, and the survival rate remains low despite advances in diagnosis and treatment. The progression of lung cancer is a multifaceted and dynamic phenomenon that encompasses interplays among cancerous cells and their microenvironment, which incorporates immune cells. Exosomes, which are small membrane-bound vesicles, are released by numerous cell types in normal and stressful situations to allow communication between cells. Tumor-derived exosomes (TEXs) possess diverse neo-antigens and cargoes such as proteins, RNA, and DNA and have a unique molecular makeup reflecting tumor genetic complexity. TEXs contain both immunosuppressive and immunostimulatory factors and may play a role in immunomodulation by influencing innate and adaptive immune components. Moreover, they transmit signals that contribute to the progression of lung cancer by promoting metastasis, epithelial-mesenchymal transition (EMT), angiogenesis, and immunosuppression. This makes them a valuable resource for investigating the immune environment of tumors, which could pave the way for the development of non-invasive biomarkers that could aid in the prognosis, diagnosis, and immunotherapy of lung cancer. While immune checkpoint inhibitor (ICI) immunotherapy has shown promising results in treating initial-stage cancers, most patients eventually develop adaptive resistance over time. Emerging evidence demonstrates that TEXs could serve as a prognostic biomarker for immunotherapeutic response and have a significant impact on both systemic immune suppression and tumor advancement. Therefore, understanding TEXs and their role in lung cancer tumorigenesis and their response to immunotherapies is an exciting research area and needs further investigation. This review highlights the role of TEXs as key contributors to the advancement of lung cancer and their clinical significance in lung immune-oncology, including their possible use as biomarkers for monitoring disease progression and prognosis, as well as emerging shreds of evidence regarding the possibility of using exosomes as targets to improve lung cancer therapy.