Exosomes are a type of extracellular vesicles secreted by cells in normal or pathological conditions for cell-cell communication. With immunomodulatory characteristics and potential therapeutic properties, immune-cell-derived exosomes play an important role in cancer therapy. They express various antigens on their surface, which can be employed for antigen presentation, immunological activation, and metabolic regulation, leading to the killing of cancerous cells. In addition, immune-cell-derived exosomes have received extensive attention as a drug delivery platform in effective antitumor therapy due to their excellent biocompatibility, low immunogenicity, and high loading capacity. In this review, the biological and therapeutic characteristics of immune-cell-derived exosomes are comprehensively outlined. The antitumor mechanism of exosomes secreted by immune cells, including macrophages, dendritic cells, T cells, B cells, and natural killer cells, are systematically summarized. Moreover, the applications of immune-cell-derived exosomes as nanocarriers to transport antitumor agents (chemotherapeutic drugs, genes, proteins, etc.) are discussed. More importantly, the existing challenges of immune-cell-derived exosomes are pointed out, and their antitumor potentials are also discussed.