Exosomes have the potential to be the future of personalized diagnostics and therapy. They are nano-sized particles between 30 and 100 nm flowing in the extracellular milieu, where they mediate cell–cell communication and participate in immune system regulation. Tumor-derived exosomes (TDEs) secreted from different types of cancer cells are the key regulators of the tumor microenvironment. With their immune suppressive cargo, TDEs prevent the antitumor immune response, leading to reduced effectiveness of cancer treatment by promoting a pro-tumorigenic microenvironment. Involved signaling pathways take part in the regulation of tumor proliferation, differentiation, apoptosis, and angiogenesis. Signal transducers and activators of transcription factors (STATs) and Janus kinase (JAK) signaling pathways are crucial in malignancies and autoimmune diseases alike, and their potential to be manipulated is currently the focus of interest. In this review, we aim to discuss exosomes, TDEs, and the JAK/STAT pathways, along with mediators like interleukins, tripartite motif proteins, and interferons.