Tumor-derived extracellular vesicles (EVs) are key immune regulators of the tumor microenvironment. They reshape the immune microenvironment and prevent antitumor immune responses via their immunosuppressive cargo, thereby determining cancer responsiveness to treatment. In the immune microenvironment of melanoma, tumor-derived EVs influence tumor progression by regulating innate and adaptive immune responses. Tumor-derived EV-based therapy is a cutting-edge and promising strategy for inhibiting melanoma progression and enhancing antitumor immunity. This review aimed to summarize the regulatory roles of EVs in the immune responses and immunotherapy of patients with melanoma. This paper provided insights into future exploration directions and potential clinical strategies targeting EVs for melanoma treatment.