Exosomes are a potent means for intercellular communication. However, exosomes have received intensive research focus in immunobiology only relatively recently. Because they transport proteins, lipids and genetic material between cells, they are especially suited to amplify their parental cell's message and overcome the physical constraints of cell‐to‐cell contact, that is exosome release gives cells the ability to alter distant, non‐contiguous cells. As progress is made in this field, it has become increasingly obvious that exosomes are involved in most biological processes. In the immune system, exosomes are fundamental tools used by every immune cell type to fulfil its function and promote inflammation or tolerance. In this review, we first summarize key aspects of immune cell‐specific exosomes and their functions. Then, we describe how exosomes have been shown to be indispensable orchestrators of the immune response in two immunological scenarios, namely transplant rejection or tolerance, and tumour evasion or initiation of anti‐tumour immune responses.