Extracellular vesicles (EVs) are emerging as potent and intricate intercellular communication networks. From their first discovery almost forty years ago, several studies have bolstered our understanding of these nano-vesicular structures. EV subpopulations are now characterized by differences in size, surface markers, cargo, and biological effects. Studies have highlighted the importance of EVs in biology and intercellular communication, particularly during immune and tumor interactions. These responses can be equally mediated at the proteomic and epigenomic levels through surface markers or nucleic acid cargo signaling, respectively. Following the exponential growth of EV studies in recent years, we herein synthesize new aspects of the emerging immune–tumor EV-based intercellular communications. We also discuss the potential role of EVs in fundamental immunological processes under physiological conditions, viral infections, and tumorigenic conditions. Finally, we provide insights on the future prospects of immune–tumor EVs and suggest potential avenues for the use of EVs in diagnostics and therapeutics.