Background: Exosomes are nanosized vesicles, play a vital role in breast cancer (BC) occurrence, development, invasion, metastasis, and drug resistance. Nevertheless, studies about exosome-related genes in breast cancer are limited. Besides, the interaction between the exosomes and tumor immune microenvironment (TIME) in BC are still unclear. Hence, we procced to study the potential prognostic value of exosome-related genes and their relationship to immune microenvironment in BC. Methods: 121 exosome-related genes were provided by ExoBCD database and 7 final genes were selected from the intersection of 33 differential expression genes (DEGs) and 19 prognostic genes in BC. Based on the expression levels of the 7 genes, downloaded from The Cancer Genome Atlas (TCGA) database, as well as the regression coefficients, the exosome-related signature was constructed. As a result, the patients in TCGA and GEO database were separated into low- and high- risk groups, respectively. Subsequently, R clusterProfiler package was applied to identify the distinct enrichment pathways between high-risk group and low-risk group. The ESTIMATE method was used to calculate ESTIMATE Score and CIBERSORT was applied to evaluate the immune cell infiltration. Eventually, the different expression levels of immune checkpoint related genes were analyzed between the two risk groups. Results: Results of BC prognosis vary from different risk groups. The low-risk groups were identified with higher survival rate both in TCGA and GEO cohort. The DEGs between high- and low- risk groups were found to enrich in immunity, biological processes, and inflammation pathways. The BC patients with higher ESTIMATE scores were revealed to have better overall survival (OS). Subsequently, CD8+ T cells, naive B cells, CD4+ resting memory T cells, monocytes, and neutrophils were upregulated, while M0 macrophages and M2 macrophages were downregulated in the low-risk group. At last, 4 genes reported as the targets of immune checkpoint inhibitors were further analyzed. The low-risk groups in TCGA and GEO cohorts were indicated with higher expression levels of LAG-3, CD274, TIGIT and CTLA-4. Conclusion: According to this study, exosomes are closely associated with the prognosis and immune cell infiltration of BC patients. These findings may make contributions to improve immunotherapy and bring a new sight for BC treatment strategies.