Cancer remains one of the main causes of death in the world due to its increasing incidence and treatment difficulties. Although significant progress has been made in this field, innovative approaches are needed to reduce tumor incidence, progression, and spread. In particular, the development of cancer vaccines is currently ongoing as both a preventive and therapeutic strategy. This concept is not new, but few vaccines have been approved in oncology. Antigen-based vaccination emerges as a promising strategy, leveraging specific tumor antigens to activate the immune system response. However, challenges persist in finding suitable delivery systems and antigen preparation methods. Exosomes (EXs) are highly heterogeneous bilayer vesicles that carry several molecule types in the extracellular space. The peculiarity is that they may be released from different cells and may be able to induce direct or indirect stimulation of the immune system. In particular, EX-based vaccines may cause an anti-tumor immune attack or produce memory cells recognizing cancer antigens and inhibiting disease development. This review delves into EX composition, biogenesis, and immune-modulating properties, exploring their role as a tool for prevention and therapy in solid tumors. Finally, we describe future research directions to optimize vaccine efficacy and realize the full potential of EX-based cancer immunotherapy.