Extracellular vesicles (EVs) are natural particles formed by the lipid bilayer and released from almost all cell types to the extracellular environment both under physiological conditions and in presence of a disease. EVs are involved in many biological processes including intercellular communication, acting as natural carriers in the transfer of various biomolecules such as DNA, various RNA types, proteins and different phospholipids. Thanks to their transfer and targeting abilities, they can be employed in drug and gene delivery and have been proposed for the treatment of different diseases, including cancer. Recently, the use of EVs as biological carriers has also been extended to cancer immunotherapy. This new technique of cancer treatment involves the use of EVs to transport molecules capable of triggering an immune response to damage cancer cells. Several studies have analyzed the possibility of using EVs in new cancer vaccines, which represent a particular form of immunotherapy. In the literature there are only few publications that systematically group and collectively discuss these studies. Therefore, the purpose of this review is to illustrate and give a partial reorganization to what has been produced in the literature so far. We provide basic notions on cancer immunotherapy and describe some clinical trials in which therapeutic cancer vaccines are tested. We thus focus attention on the potential of EV-based therapeutic vaccines in the treatment of cancer patients, overviewing the clinically relevant trials, completed or still in progress, which open up new perspectives in the fight against cancer.