Exosomes are extracellular vesicles released from numerous types of cells that are involved in multiple tumors development. Exosomes contribute to the modulation of tumor microenvironment (TME) through intercellular communication. As essential immune stromal cells in the TME, tumor-associated macrophages (TAMs) participate in tumor development by mediating angiogenesis, metastasis, chemoresistance, and immune escape. Due to communication with multiple cells in the TME, they exhibit plasticity and heterogeneity during the progress of polarization from monocytes to macrophages. Previous studies suggest that targeting TAMs is a promising therapeutic strategy; however, the detailed mechanism by which TAMs regulate tumor development still remains unclear. In this review, we provide an overview of the roles of exosomes as messengers in the communication between tumor cells and polarization of TAMs; we also describe the effects of their interaction on tumor development. Finally, we comprehensively discussed the potential application of exosomes as the promising tumor immunotherapy strategy. © 2021 The Author(s). Published with license by Taylor & Francis Group, LLC.