Exosomes are small extracellular vesicles of endocytic origin released by various cell types. They consist of lipid bilayers containing macromolecules such as lipids, proteins, microRNAs, growth factors, cytokines, and carbohydrates. Exosomes play a critical role in the diagnosis and treatment of various diseases. For instance, exosome contents have been utilized as biomarkers in body fluids (urine, saliva, serum) to identify cancers, autoimmune diseases, and inflammatory conditions such as sepsis. Due to their small size and ability to reach tumor microenvironments, exosomes are also used as carriers for chemotherapeutic drugs in drug delivery systems. Furthermore, evidence indicates that malignant cells release exosomes into the tumor microenvironment, influencing immune cells in a paracrine manner. Additionally, immune cell-derived exosomes, such as those from Natural Killer (NK) cells or cytotoxic T lymphocytes (CTLs), show potential as therapeutic agents in treating malignancies like leukemia. This review discusses the diagnostic role of exosomes in various hematological malignancies and explores the therapeutic potential of immune cell-derived exosomes in these diseases.