Extracellular communication, in other words, crosstalk between cells, has a pivotal role in the survival of an organism. This communication occurs by different methods, one of which is extracellular vesicles. Exosomes, which are small lipid extracellular vesicles, have recently been discovered to have a role in signal transduction between cells inside the body. These vesicles contain important bioactive molecules including lipids, proteins, DNA, mRNA, and noncoding RNAs such as microRNAs (miRNAs). Exosomes are secreted by all cells including immune cells (macrophages, lymphocytes, granulocytes, dendritic cells, mast cells) and tumor cells. The tumor microenvironment (TME) represents a complex network that supports the growth of tumor cells. This microenvironment encompasses tumor cells themselves, the extracellular matrix, fibroblasts, endothelial cells, blood vessels, immune cells, and non-cellular components such as exosomes and cytokines. This review aims to provide insights into the latest discoveries concerning how the immune system communicates internally and with other cell types, with a specific focus on research involving exosomal miRNAs in macrophages, dendritic cells, B lymphocytes, and T lymphocytes. Additionally, we will explore the role of exosomal miRNA in the TME and the immunomodulatory effect.