Human cancers constitutively produce and release endosome-derived nanometer-sized vesicles called exosomes that carry biologically active proteins, messenger and micro RNAs and serve as vehicles of intercellular communication. The tumour exosomes are present in the blood, urine and various malignant effusions such as peritoneal and pleural fluid of cancer patients and can modulate immune cells and responses thus deranging the immune system of cancer patients and giving advantage to the cancer to establish and spread itself. Here, the role of exosomes in the NKG2D receptor–ligand system's interactions is discussed. The activating NK cell receptor NKG2D and its multiple ligands, the MHC class I-related chain (MIC) A/B and the retinoic acid transcript-1/UL-16 binding proteins (RAET1/ULBP) 1–6 comprise a powerful stress-inducible danger detector system that targets infected, inflamed and malignantly transformed cells and plays a decisive role in anti-tumour immune surveillance. Mounting evidence reveals that the MIC- and RAET1/ULBP ligand family members are enriched in the endosomal compartment of various tumour cells and expressed and released into the intercellular space and bodily fluids on exosomes thus preserving their entire molecule, three-dimensional protein structure and biologic activity. The NKG2D ligand-expressing exosomes serve as decoys with a powerful ability to down regulate the cognate receptor and impair the cytotoxic function of NK-, NKT-, gamma/delta- and cytotoxic T cells. This review summarizes recent findings concerning the role of NKG2D receptor–ligand system in cancer with emphasis on regulation of NKG2D ligand expression and the immunosuppressive role of exosomally expressed NKG2D ligands.