Exosomes can be released by a variety of cells and participate in intercellular communication in many physiological processes in the body. They can be used as carriers of cancer therapeutic drugs and have natural delivery capabilities. Some biologically active substances on exosomes, such as major histocompatibility complex (MHC), have been shown to be involved in exosome-mediated anticancer immune responses and have important regulatory effects on the immune system. Exosome-based drug delivery systems hold great promise in future cancer immunotherapy. However, there are still substantial challenges to be overcome in the clinical application of exosomes as drug carriers. This article reviews the biological characteristics of exosome drug delivery systems and their potential applications and challenges in cancer immunotherapy.