Small extracellular vesicles (sEVs) secreted by most cells carry bioactive macromolecules including proteins, lipids, and nucleic acids for intercellular communication. Given that some immune cell-derived sEVs exhibit anti-cancer properties, these sEVs have received scientific attention for the development of novel anti-cancer immunotherapeutic agents. In this paper, we reviewed the latest advances concerning the biological roles of immune cell-derived sEVs for cancer therapy. sEVs derived from immune cells including dendritic cells (DCs), T cells, natural-killer (NK) cells, and macrophages are good candidates for sEV-based cancer therapy. Besides their role of cancer vaccines, DC-shed sEVs activated cytotoxic lymphocytes and killed tumor cells. sEVs isolated from NK cells and chimeric antigen receptor (CAR) T cells exhibited cytotoxicity against cancer cells. sEVs derived from CD8+ T and CD4+ T cells inhibited cancer-associated cells in tumor microenvironment (TME) and activated B cells, respectively. M1-macrophage-derived sEVs induced M2 to M1 repolarization and also created a pro-inflammatory environment. Hence, these sEVs, via mono or combination therapy, could be considered in the treatment of cancer patients in the future. In addition, sEVs derived from cytokine-stimulated immune cells or sEV engineering could improve their anti-tumor potency.