Immune system is a precise mechanism for maintenance of homeostasis by lymphocyte-mediated elimination of extracellular and intercellular pathogens, and abnormal cells in cytokine-, chemokine-, antibody-, and cytotoxic granule-dependent manners. Extracellular vesicles, e.g. exosomes, released from multivesicular endosome in immune cells have been known to be a part of the immune system. Exosomes released by antigen-presenting cells (APCs) such as macrophages and dendritic cells (DCs) regulate natural killer (NK) cells, CD8+ T cells (Cytotoxic T lymphocytes [CTLs]), and CD4+ T cells (Th cells) including Th1, Th2, and regulatory T (Treg) cells. In the anti-tumor immune system, NK cells and CTLs are mainly involved in the elimination of tumor cells by direct interaction. Recently, we clarified that tumor-infiltrating CD8+ T cells prevent tumor invasion and metastasis by exosome-mediated destruction of tumor stroma consist of mesenchymal stem cells (MSCs) and cancer-associated fibroblasts (CAFs). In this review article, we describe the role of exosomes in controlling immune system and its clinical application.