Exosomes are endosomal-derived nanovesicles released by most cells types, including tumor cells, and principally involved in intercellular communication in physiology and disease. Tumor exosomes are gaining increasing interest in medicine and oncology as efficient tools for the delivery of defined signals. Representing the acellular replicas of tumor cells, they contain a great variety of bioactive molecules, such as proteins, RNA, miRNA and DNA. Their great ability to recirculate in body fluids and their structure allow them to transport their cargo to distant targets. Major studies have shown that tumor exosomes convey information not only between tumor cells but also to other cell types, including different immune cell components. There is increasing evidence that these nanovesicles may contribute to cancer progression by influencing different immune cell types, likely blunting specific T cell immunity and skewing innate immune cells toward a pro-tumorigenic phenotype. Because of this function and the additional property to deliver molecular signals modulating neoangiogenesis and stroma remodeling, tumor exosomes are believed to play a role in tumor progression by favoring metastatic niche onset. This review outlines the recent knowledge on immune suppressive mechanisms mediated by tumor exosomes. We will discuss our view on the role of these nanovesicular structures in cancer progression and how their presence could interfere with cancer therapy.