In tumor diseases, the tumor microenvironment and tumor cells jointly determine the malignant phenotype of tumors. In turn, the tumor microenvironment (TME) is closely related to tumorigenesis, growth and metastasis, including not only the structure, function and metabolism of tumor tissues, but also the intrinsic environment of the nucleus and cytoplasm of the tumor cells themselves. Exosomes are membrane vesicles secreted by most cell types and have been shown to be involved in various cellular communications in the TME, such as those with tumor fibroblasts, tumor stem cells, mesenchymal stem cells and immune cells in the TME. This finding has helped researchers to better understand the mechanisms of tumorigenesis and metastasis. Because exosomes are able to be used to deliver nucleic acids, proteins and small molecules with an easily modified appearance, and able to even cross the perivascular brain and overcome the peripheral mononuclear phagocytic system, exosome-based oncology drugs may be a promising alternative to nanoparticle-mediated drugs. This review presents recent results on the involvement of exosomes in the communication of different cells in TME and discusses feasible options for cutting their upstream pathways to inhibit tumor theory, and finally discusses their potential as drug delivery carriers in tumor therapy, illustrating some of the dilemmas faced by exosome-based oncology drugs.