In recent times, extracellular vesicles (EVs) have come under the spotlight as potential therapeutics for cancer, due to the relative ease of manipulation of contents and potential for tumor targeting. The use of EVs as delivery vehicles may bypass some of the negative effects associated with cell-based carriers, and there has been a major focus on defining EV subtypes, establishing transparent nomenclature, and isolation and characterization techniques. EVs are believed to be a fingerprint of the secreting cell and so researchers harness the positive aspects of a particular cell of origin, and can then further modify EV contents to improve therapeutic efficacy. In this review, we highlight studies employing EVs as cancer therapeutics that have reported on immune response. As we rapidly advance towards potential application in the clinical setting, the question of immune response to EV administration in the cancer setting has become critically important.