Cancer stem cells (CSCs), accounting for only a minor cell proportion (< 1%) within tumors, have profound implications in tumor initiation, metastasis, recurrence, and treatment resistance due to their inherent ability of self-renewal, multi-lineage differentiation, and tumor-initiating potential. In recent years, accumulating studies indicate that CSCs and tumor immune microenvironment act reciprocally in driving tumor progression and diminishing the efficacy of cancer therapies. Extracellular vesicles (EVs), pivotal mediators of intercellular communications, build indispensable biological connections between CSCs and immune cells. By transferring bioactive molecules, including proteins, nucleic acids, and lipids, EVs can exert mutual influence on both CSCs and immune cells. This interaction plays a significant role in reshaping the tumor immune microenvironment, creating conditions favorable for the sustenance and propagation of CSCs. Deciphering the intricate interplay between CSCs and immune cells would provide valuable insights into the mechanisms of CSCs being more susceptible to immune escape. This review will highlight the EV-mediated communications between CSCs and each immune cell lineage in the tumor microenvironment and explore potential therapeutic opportunities.