Tumor cells can derive a variety of mechanisms to resist immune defense or drug action. Recent studies have demonstrated that exosomes can mediate cancer progression and distal metastasis. Importantly, exosome plays an important role in regulating DC, macrophages, T cells, NK cells and so on in the microenvironment of tumors. Moreover, exosome can help tumor cells escape the recognition of immune cells by promoting the functions of immunosuppressive cells, such as MDSC and Treg. This review will summarize the role of exosome and its key mediators in mediating tumor immune escape and immune tolerance, and review the latest progress in this field.