Exosomes are actively produced extracellular vesicles, released from different cell types, that exert important regulatory roles in vital cellular functions. Tumor-derived exosomes (TDEs) have received increasing attention because they enable intercellular communication between the neoplastic and non-neoplastic cells present in the microenvironment of tumors, affecting important functions of different types of mesenchymal stem cells (MSCs) with the ability to self-renew and differentiate. MSC-derived exosomes (MSC-exos) carry a variety of bioactive molecules that can interact with specific cellular targets and signaling pathways, influencing critical processes in tumor biology, and exhibiting properties that either promote or inhibit tumor progression. They can regulate the tumor microenvironment by modulating immune responses, enhancing or suppressing angiogenesis, and facilitating tumor cells' communication with distant sites, thus altering the behavior of non-cancerous cells present in the microenvironment. Herein, we explore the main functions of TDEs and their intricate interactions with MSC-exos, in terms of enhancing cancer progression, as well as their promising clinical applications as tumor microenvironment modulators.