Exosomes are membrane-enveloped nanosized (30–150 nm) extracellular vesicles of endosomal origin produced by almost all cell types and encompass a multitude of functioning biomolecules. Exosomes have been considered crucial players of cell-to-cell communication in physiological and pathological conditions. Accumulating evidence suggests that exosomes can modulate the immune system by delivering a plethora of signals that can either stimulate or suppress immune responses, which have potential applications as immunotherapies for cancer and autoimmune diseases. Here, we discuss the current knowledge about the active biomolecular components of exosomes that contribute to exosomal function in modulating different immune cells and also how these immune cell-derived exosomes play critical roles in immune responses. We further discuss the translational potential of engineered exosomes as immunotherapeutic agents with their advantages over conventional nanocarriers for drug delivery and ongoing clinical trials.