Colorectal cancer (CRC) remains an enormous challenge to human health worldwide. Unfortunately, the mechanism underlying CRC progression is not well understood. Mounting evidence has confirmed that exosomes play a vital role in CRC progression, which has attracted extensive attention among researchers. In addition to acting as messengers between CRC cells, exosomes also participate in the CRC immunomodulatory process and reshape immune function. As stable message carriers and liquid biopsy option under development, exosomes are promising biomarkers in the diagnosis or treatment of CRC. In this review we have described and analyzed the biogenesis and release of exosomes and current research on the role of exosomes in immune regulation and metastasis of CRC. Moreover, we have discussed candidate exosomal molecules as potential biomarkers to diagnose CRC, predict CRC progression, or determine CRC chemoresistance, and described the significance of exosomes in the immunotherapy of CRC. This review provides insight to further understand the role of exosomes in CRC progression and identify valuable biomarkers that facilitate the clinical management of CRC patients.