Exosomes are small membrane vesicles originating from late endosomes and secreted by hematopoietic and epithelial cells in culture. Exosome proteic and lipid composition is unique and might shed some light into exosome biogenesis and function. Exosomes secreted from professional antigen-presenting cells (i.e., B lymphocytes and dendritic cells) are enriched in MHC class I and II complexes, costimulatory molecules, and hsp70-90 chaperones, and have therefore been more extensively studied for their immunomodulatory capacities in vitro and in vivo. This review will present the main biological features pertaining to tumor or DC-derived exosomes, will emphasize their immunostimulatory function, and will discuss their implementation in cancer immunotherapy.