Exosomes are nanovesicles originating from late endosomal compartments and secreted by most living cells in ex vivo cell culture conditions. The interest in exosomes was rekindled when B-cell and dendritic cell-derived exosomes were shown to mediate MHC-dependent immune responses. Despite limited understanding of exosome biogenesis and physiological relevance, accumulating evidence points to their bioactivity culminating in clinical applications in cancer. This review focuses on the preclinical studies exploiting the immunogenicity of dendritic cell-derived exosomes (Dex) and will elaborate on the past and future vaccination trials conducted using Dex strategy in melanoma and non-small cell lung cancer patients.