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Simple Summary: Tumor cell-derived extracellular vesicles (TEVs) are an important means of tumor communication with, and manipulation of, the patient's physiology. TEVs influence the local tumor environment as well as the systemic conditions of the patient. Progressive changes in tumor interactions with the host immune system are defined as "immunoediting". Here, we summarize TEV effects on the immune system during the stages of cancer immunoediting and outline the molecular and cellular characteristics of interactions that result in complete tumor regression versus tumor immune escape and progression. Generally, the cargo profile of TEVs naturally changes during immunoediting toward immunosuppression while different cell stress or treatment conditions can inhibit this process or even reverse it to immunostimulation by altering the TEVs cargos. Therefore, understanding potential immunotherapeutic properties and how they can be manipulated to treat cancer should be considered a new research approach in oncoimmunotherapy. The tumor microenvironment (TME) within and around a tumor is a complex interacting mixture of tumor cells with various stromal cells, including endothelial cells, fibroblasts, and immune cells. In the early steps of tumor formation, the local microenvironment tends to oppose carcinogenesis, while with cancer progression, the microenvironment skews into a protumoral TME and the tumor influences stromal cells to provide tumor-supporting functions. The creation and development of cancer are dependent on escape from immune recognition predominantly by influencing stromal cells, particularly immune cells, to suppress antitumor immunity. This overall process is generally called immunoediting and has been categorized into three phases; elimination, equilibrium, and escape. Interaction of tumor cells with stromal cells in the TME is mediated generally by cell-to-cell contact, cytokines, growth factors, and extracellular vesicles (EVs). The least well studied are EVs (especially exosomes), which are nanoparticle-sized bilayer membrane vesicles released by many cell types that participate in cell/cell communication. EVs carry various proteins, nucleic acids, lipids, and small molecules that influence cells that ingest the EVs. Tumor-derived extracellular vesicles (TEVs) play a significant role in every stage of immunoediting, and their cargoes change from immune-activating in the early stages of immunoediting into immunosuppressing in the escape phase. In addition, their cargos change with different treatments or stress conditions and can be influenced to be more immune stimulatory against cancer. This review focuses on the emerging understanding of how TEVs affect the differentiation and effector functions of stromal cells and their role in immunoediting, from the early stages of immunoediting to immune escape. Consideration of how TEVs can be therapeutically utilized includes different treatments that can modify TEV to support cancer immunotherapy. [ABSTRACT FROM AUTHOR]