Exosomes are membrane vesicles of 30 to 100 nm in diameter, of endocytic origin, and are produced and secreted in vitro by living cells of diverse origin. In vivo and in vitro experiments suggest, from their particular proteomic composition, that exosomes are involved in the transfer of tumor antigens to antigen presenting cells, and in the stimulation of a specific immune response. In this review, we provide a molecular characterization of exosomes. The hypotheses accounting for exosome biogenesis will be outlined. Finally, we will describe their bioactivities and discuss their potential relevance and clinical implementation for cancer immunotherapy.