Hematological malignancies originate from the hematopoietic system, including lymphoma, multiple myeloma, leukaemia, etc. They are highly malignant with a high incidence, a poor prognosis and a high mortality. Although the novel therapeutic strategies have partly improved the clinical efficacy of hematological malignancies, patients still face up with drug resistance, refractory disease and disease relapse. Many studies have shown that exosomes play an important role in hematological malignancies. Exosomes are nanoscale vesicles secreted by cells with a size ranging from 40 to 160 nm. They contain various intracellular components such as membrane proteins, lipids, and nucleic acids. These nanoscale vesicles transmit information between cells with the cargos. Thus, they participate in a variety of pathological processes such as angiogenesis, proliferation, metastasis, immunomodulation and drug resistance, which results in important role in the pathogenesis and progression of hematological malignancies. Furthermore, exosomes and the components carried in them can be used as potential biomarkers for the diagnosis, therapeutic sensitivity and prognosis in hematological malignancies. In the therapy of hematologic malignancies, certain exosome are potential to be used as therapeutic targets, meanwhile, exosomes are suitable drug carriers with lipid bilayer membrane and the nanostructure. Moreover, the tumor-derived exosomes of patients with hematologic malignancies can be developed into anti-tumor vaccines. The research and application of exosomes in hematological malignancies are summarized and discussed in this review.