Exosomes are small membrane-bound vesicles that are secreted by a multitude of eukaryocytes as a consequence of fusion of multivesicular bodies with the plasma membrane. Exosomes can play critical roles in different physiological processes depending on their origins. Exosomes secreted from professional antigen-presenting cells are enriched in MHC class I and II complexes, costimulatory molecules, hsp 70 and hsp 90 chaperones, therefore exosomes, like Trojan horse, are of importance of immunoregulation in vivo and in vitro. The review will present current trends of research on the fundamental properties, production and purification of exosomes, and will focus on their implementation in cancer and virus immunotherapy as a novel cell-free peptide-based vaccine.