Exosomes are small membrane vesicles of endocytic origin with a size of 50–100 nm. They can contain microRNAs, mRNAs, DNA fragments, and proteins, which are shuttled from a donor cell to recipient cells. Many different cell types including immune cells, mesenchymal cells, and cancer cells release exosomes. There is emerging evidence that cancer-derived exosomes contribute to the recruitment and reprogramming of constituents associated with tumor environment. Here, we discuss different mechanisms associated with biogenesis, payload, and transport of exosomes. We highlight the functional relevance of exosomes in cancer, as related to tumor microenvironment, tumor immunology, angiogenesis, and metastasis. Exosomes may exert an immunosuppressive function as well as trigger an anti-tumor response by presenting tumor antigens to dendritic cells. Exosomes may serve as cancer biomarkers and aid in the treatment of cancer.