Originally considered to be part of a cellular waste pathway, expansive research into exosomes has shown that these vesicles possess a vast array of functional utilities. As vital transporters of materials for communications between cells, particular interest has been generated in the ability of cancer cells to use exosomes to induce immune suppression, and to establish a thriving microenvironment, ideal for disease progression. Exosomes carry and transfer many types of cargo, including microRNAs (miRNAs; miRs), which are important modulators of messenger RNA (mRNA) expression. These miRNAs have been shown to be noteworthy components of the mechanisms used by tumor-derived exosomes to carry out their functions. Alternatively, research has been expanding into using exosomes and miRNAs as both biomarkers for detecting cancer and disease progression, and as potential treatment tools. Here, we discuss some of the progress that researchers have made related to cancer exosomes, their suppression of the immune system and the importance of the miRNAs they shuttle, along with some of the shortcomings, obstacles, and challenges that lie ahead.