Exosomes are nanoscale vesicles released by diverse types of cells for complex intercellular communication. Numerous studies have shown that exosomes can regulate the body's immune response to tumor cells and interfere with the tumor microenvironment (TME). In clinical trials on dendritic cell (DC)-based antitumor vaccines, no satisfactory results have been achieved. However, recent studies suggested that DC-derived exosomes (DEX) may be superior to DC-based antitumor vaccines in avoiding tumor-cell-mediated immunosuppression. DEX contain multiple DC-derived surface markers that capture tumor-associated antigens (TAAs) and promote immune cell-dependent tumor rejection. These findings indicate the necessity of the further development and improvement of DEX-based cell-free vaccines to complement chemotherapy, radiotherapy, and other immunotherapies. In this review, we highlighted the recent progresses of DEX in cancer immunotherapy, particularly by concentration on landmark studies and the biological characterization of DEX, and we summarized their important role in the tumor immune microenvironment (TIME) and clinical application in targeted cancer immunotherapy. This review could enhance our comprehension of advances in cancer immunotherapy and contribute to the elucidation of how DEX regulate the TIME, thereby providing a reference for utilizing DEX-based vaccines in clinical practice.