Exosomes are a major subgroup of extracellular vesicles (EVs) generated through the endosomal pathways in the endosomal sorting complex required for the transport in endosomal sorting complex required for transport (ESCRT)-dependent and ESCRT-independent manner. Natural EVs carry various biological materials, including proteins, lipids, nucleic acids and metabolic waste, and act as messengers that mediate multifarious biofunctions. Noncoding RNAs (ncRNAs) are an essential type of EV cargo. Current immunotherapies represented by immune checkpoint blockade have emerged as an important option for tumor treatment. However, our understanding of how cells of the tumor immune microenvironment interact with each other is relatively poor. Thus, we review the current knowledge about the role of exosomal ncRNAs in the tumor immune microenvironment.