Simple Summary Extracellular vesicles (EVs) are small particles found throughout the body. EVs are released by living cells and contain cargo representing the cell of origin. In recent years, EVs have gained attention in cancer research. Since the cargo found inside EVs can be traced back to the cell of origin, EVs shed from cancer cells, in particular, may be used to better describe and characterize a patient’s tumor. EVs have been found and isolated from a variety of bodily fluids, including blood, saliva, and amniotic fluid, and therefore offer a non-invasive way of also diagnosing and monitoring patients before, during, and after cancer immunotherapy. The aim of this review article was to summarize some of the recent work conducted in this field and the challenges we face moving forward in utilizing EVs for cancer diagnostic and therapeutic purposes in cancer immunotherapy in the clinical setting. Abstract Extracellular vesicles (EVs), including exosomes and microvesicles, are membrane-bound vesicles secreted by most cell types during both physiologic conditions as well in response to cellular stress. EVs play an important role in intercellular communication and are emerging as key players in tumor immunology. Tumor-derived EVs (TDEs) harbor a diverse array of tumor neoantigens and contain unique molecular signature that is reflective of tumor’s underlying genetic complexity. As such they offer a glimpse into the immune tumor microenvironment (TME) and have the potential to be a novel, minimally invasive biomarker for cancer immunotherapy. Immune checkpoint inhibitors (ICI), such as anti- programmed death-1(PD-1) and its ligand (PD-L1) antibodies, have revolutionized the treatment of a wide variety of solid tumors including head and neck squamous cell carcinoma, urothelial carcinoma, melanoma, non-small cell lung cancer, and others. Typically, an invasive tissue biopsy is required both for histologic diagnosis and next-generation sequencing efforts; the latter have become more widespread in daily clinical practice. There is an unmet need for noninvasive or minimally invasive (e.g., plasma-based) biomarkers both for diagnosis and treatment monitoring. Targeted analysis of EVs in biospecimens, such as plasma and saliva could serve this purpose by potentially obviating the need for tissue sample. In this review, we describe the current challenges of biomarkers in cancer immunotherapy as well as the mechanistic role of TDEs in modulating antitumor immune response.