Exosomes are nanometer-sized vesicles (40–100 nm diameter) of endocytic origin released from different cell types under both normal and pathological conditions. They function as cell free messengers, playing a relevant role in the cell–cell communication that is strongly related to the nature of the molecules (proteins, mRNAs, miRNAs, and lipids) that they transport. Tumor cells actively shed exosomes into their surrounding microenvironment and growing evidence indicates that these vesicles have pleiotropic functions in the regulation of tumor progression, promoting immune escape, tumor invasion, neovascularization, and metastasis. During the last few years remarkable efforts have been made to obtain an accurate definition of the protein content of tumor-derived exosomes (TDEs) by applying MS-based proteomic technologies. To date, TDEs proteomic studies have been mainly utilized to catalog TDEs proteins with the purpose of identifying disease biomarkers. The future challenge for improving our understanding and characterization of TDEs will be the implementation of new systems-driven and proteomic integrative strategies. The aim of this article is to provide an overview of the most characterized exosomes-mediated mechanisms that contribute to the pathogenesis of cancer and to review recent proteomics data that support the protumorigenic role of TDEs.