Extracellular vesicles (EVs) are pivotal mediators of intercellular communication within the tumor immune microenvironment (TME). They are broadly categorized into exosomes, microvesicles, and apoptotic bodies based on their distinct biogenesis pathways. Exosomes originate from the endosomal system via multivesicular body fusion, microvesicles bud directly from the plasma membrane, and apoptotic bodies are released during programmed cell death. By shuttling diverse bioactive cargoes—including proteins, lipids, and nucleic acids such as mRNA, miRNA, and DNA—EVs exert dual modulatory effects on tumor initiation, progression, and immune evasion. Importantly, EVs exhibit remarkable compositional heterogeneity that is intrinsically linked to their cellular origin. Tumor-derived EVs (TDEVs) are typically enriched with immunosuppressive molecules like PD-L1, TGF-β, and miR-21, which promote tumor immune escape and metastasis. In contrast, EVs derived from immune cells, such as dendritic cells or cytotoxic T lymphocytes, often carry immunostimulatory components including antigens, co-stimulatory molecules, and granzymes, thereby potentiating anti-tumor immunity. This review systematically delineates the biogenesis and molecular composition of EVs, with a particular emphasis on their dynamic regulatory functions within the TME. Specifically, we discuss how EVs mediate intricate crosstalk between immune and tumor cells, facilitating signal transfer that reshapes immune surveillance. For instance, TDEVs can induce macrophage polarization toward an M2-like pro-tumor phenotype, while also suppressing natural killer cell cytotoxicity and dendritic cell maturation. The clinical utility of EV-associated biomarkers in liquid biopsy is increasingly recognized. Circulating EVs carry tumor-specific molecular signatures that mirror the genetic and proteomic alterations of primary tumors, enabling non-invasive early diagnosis, molecular subtyping, and real-time monitoring of therapeutic responses. Their natural biocompatibility, low immunogenicity, and intrinsic ability to traverse biological barriers make them ideal candidates for drug delivery systems. This review explores cutting-edge applications, including the use of EVs in immune checkpoint blockade therapy—for instance, engineered EVs displaying anti-PD-1 antibodies or carrying siRNA to silence immunosuppressive genes. Moreover, EV-based tumor vaccines are being developed, leveraging dendritic cell-derived EVs loaded with tumor antigens to elicit potent T-cell responses. The feasibility of loading EVs with therapeutic molecules such as chemotherapeutic agents, oncolytic viruses, or CRISPR-Cas9 components is also under active investigation. The advent of engineered EVs has further expanded their therapeutic potential. Through surface modification or cargo encapsulation, EVs can be tailored for targeted delivery and controlled release, enhancing precision immunotherapy. However, several hurdles impede clinical translation. Current isolation and purification methods, such as ultracentrifugation and size-exclusion chromatography, suffer from low yield and purity. Distinguishing EV subpopulations remains technically challenging due to overlapping size and marker expression. Moreover, the lack of standardized protocols for EV production, characterization, and quality control poses significant barriers to regulatory approval and clinical adoption. Looking forward, the convergence of multi-omics technologies with artificial intelligence offers a powerful approach to decipher EV heterogeneity and identify robust diagnostic signatures. Machine learning algorithms can integrate proteomic, transcriptomic, and lipidomic data from large patient cohorts to construct predictive models for cancer diagnosis and prognosis. Concurrently, advances in bioengineering are enabling the design of next-generation EVs with enhanced targeting specificity, on-demand drug release, and reduced off-target effects. Future efforts should also focus on establishing Good Manufacturing Practice (GMP)-compliant production processes and conducting rigorous preclinical and clinical evaluations. In summary, this review provides a comprehensive overview of EV biology, their multifaceted roles in the TME, and their transformative potential in cancer diagnostics and therapeutics. By addressing current challenges and leveraging emerging technologies, EV-based strategies are poised to revolutionize precision oncology.