Hypoxia is a common phenomenon in solid tumors as the poorly organized tumor vasculature cannot fulfill the increasing oxygen demand of rapidly expanding tumors. Under hypoxia, tumor cells reshape their microenvironment to sustain survival, promote metastasis, and develop resistance to therapy. Exosomes are extracellular vesicles secreted by most eukaryotic cells, including tumor cells. They are enriched with a selective collection of nucleic acids and proteins from the originating cells to mediate cell-to-cell communication. Accumulating evidence suggests that exosomes derived from tumor cells play critical roles in modulating the tumor microenvironment (TME). Hypoxia is known to stimulate the secretion of exosomes from tumor cells, thereby promoting intercellular communication of hypoxic tumors with the surrounding stromal tissues. Exosome-mediated signaling pathways under hypoxic conditions have been reported to cause angiogenesis, invasion, metastasis, drug resistance, and immune escape. Recently, the programmed cell death ligand-1 (PD-L1) has been reported to reside as a transmembrane protein in tumor exosomes. Exosomal PD-L1 was shown to suppress T cell effector function in the TME and cause drug resistance to immune checkpoint therapy. This review provides an update about the pivotal role of tumor-derived exosomes in drug resistance to chemotherapy and immunotherapy, particularly under hypoxic conditions. Emerging strategies that target the exosomes in the hypoxic TME to enhance the antitumor efficacy are discussed.