Glioblastoma Multiforme (GBM) is the most aggressive primary tumor of the Central Nervous System (CNS) with a low survival rate. The malignancy of GBM is sustained by a bidirectional crosstalk between tumor cells and the Tumor Microenvironment (TME). This mechanism of intercellular communication is mediated, at least in part, by the release of exosomes. Glioma-Derived Exosomes (GDEs) work, indeed, as potent signaling particles promoting the progression of brain tumors by inducing tumor proliferation, invasion, migration, angiogenesis and resistance to chemotherapy or radiation. Given their nanoscale size, exosomes can cross the blood–brain barrier (BBB), thus becoming not only a promising biomarker to predict diagnosis and prognosis but also a therapeutic target to treat GBM. In this review, we describe the structural and functional characteristics of exosomes and their involvement in GBM development, diagnosis, prognosis and treatment. In addition, we discuss how exosomes can be modified to be used as a therapeutic target/drug delivery system for clinical applications.