Glioblastomas are among the most aggressive tumors, and with low survival rates. They are characterized by the ability to create a highly immunosuppressive tumor microenvironment. Exosomes, small extracellular vesicles (EVs), mediate intercellular communication in the tumor microenvironment by transporting various biomolecules (RNA, DNA, proteins, and lipids), therefore playing a prominent role in tumor proliferation, differentiation, metastasis, and resistance to chemotherapy or radiation. Exosomes are found in all body fluids and can cross the blood–brain barrier due to their nanoscale size. Recent studies have highlighted the multiple influences of tumor-derived exosomes on immune cells. Owing to their structural and functional properties, exosomes can be an important instrument for gaining a better molecular understanding of tumors. Furthermore, they qualify not only as diagnostic and prognostic markers, but also as tools in therapies specifically targeting aggressive tumor cells, like glioblastomas.