Despite the recent advancements in therapeutics and personalized medicine, breast cancer remains one of the most lethal cancers among women. The prognostic and diagnostic aids mainly include assessment of tumor tissues with conventional methods towards better therapeutic strategies. However, current era of gene-based research may influence the treatment outcome particularly as an adjunct to diagnostics by exploring the role of non-invasive liquid biopsies or circulating markers. The characterization of tumor milieu for physiological fluids has been central to identifying the role of exosomes or small extracellular vesicles (sEVs). These exosomes provide necessary communication between tumor cells in the tumor microenvironment (TME). The manipulation of exosomes in TME may provide promising diagnostic/therapeutic strategies, particularly in triple-negative breast cancer patients. This review has described and highlighted the role of exosomes in breast carcinogenesis and how they could be used or targeted by recent immunotherapeutics to achieve promising intervention strategies.