Exosomes are nanometer-sized membrane vesicles invaginating from multivesicular bodies and secreted from different cell types. They represent an “in vitro” discovery, but vesicles with the hallmarks of exosomes are present in vivo in germinal centers and biological fluids. Their protein and lipid composition is unique and could account for their expanding functions such as eradication of obsolete proteins, antigen presentation, or “Trojan horses” for viruses or prions. The potential of dendritic cell-derived exosomes (Dex) as cell-free cancer vaccines is addressed in this review. Lessons learned from the pioneering clinical trials allowed reassessment of the priming capacities of Dex in preclinical models, optimizing clinical protocols, and delineating novel, biological features of Dex in cancer patients.