Exosomes are small vesicles originating from late endosomes, 30-100 nm in diameter with typical cup-shape morphology. They are reported to bear high levels of a narrow spectrum of molecules involved in immune response and signal transduction. Apart from removing obsolete membrane proteins, some surprising biological functions of exosomes were unveiled recently and their applications in immunotherapy of tumors are currently intensively investigated. Dendritic cell- (DC) and tumor-derived exosomes have considerable anti-tumor effects in experimental studies and several clinical trials. Despite their potential applications in eliciting a "positive" immune response, exosomes might induce some "unwanted" immune responses, such as immune tolerance and immune evasion. Therefore further investigations about the physiological functions of exosomes and the optimal way of exosome application in tumor immunotherapy are necessary. This review presents recent developments in the field of exosome research and focuses on its applications to tumor immunotherapy.