High neutrophil to lymphocyte ratio (NLR) and monocyte to lymphocyte ratio (MLR) are respectively associated with systemic inflammation and immune suppression and have been associated with a poor outcome. Plasmatic exosomes are extracellular vesicles involved in the intercellular communication system that can exert an immunosuppressive function. Aim of this study was to investigate the interplay between the immune system and circulating exosomes in metastatic breast cancer (MBC). A threshold capable to classify patients according to MLR, NLR and PLR, was computed through a receiving operator curve analysis after propensity score matching with a series of female blood donors. Exosomes were isolated from plasma by ExoQuick solution and characterized by flow-cytometry. NLR, MLR, PLR and exosomal subpopulations potentially involved in the pre-metastatic niche were significantly different in MBC patients with respect to controls. MLR was significantly associated with number of sites at the onset of metastatic disease, while high levels of MLR and NLR were found to be associated with poor prognosis. Furthermore, exosomal subpopulations varied according to NLR, MLR, PLR and both were associated with different breast cancer subtypes and sites of distant involvement. This study highlights the nuanced role of immunity in MBC spread, progression and outcome. Moreover, they suggest potential interaction mechanisms between immunity, MBC and the metastatic niche.