Tumor tissues consist of tumor cells and tumor stroma, which is structured by non-tumor cells and the extracellular matrix. Macrophages are the predominant immune cells in the tumor microenvironment (TME). Based on the intimate interaction between macrophages and tumor cells, macrophages are closely involved in tumor initiation and progression, playing a key role in tumor formation, angiogenesis, metastasis, and immune escape. Extracellular vesicles (EVs) are a group of membrane-enclosed structures secreted by almost all cell types. As crucial mediators of cell-to-cell communication, EVs play a role in various physiological processes and the development of diseases including cancer. According to numerous studies, tumor cell-derived extracellular vesicles (T-EVs) could highly modulate the phenotypes and functions of macrophages, thus promoting tumor development. Herein, we comprehensively introduce the role of T-EVs in regulating the M1/M2 phenotypes and immune functions of macrophages, including cytokine secretion, expression of immune regulatory molecules on the membrane, phagocytosis, and antigen presentation. More importantly, based on the regulatory effects of T-EVs on macrophages, we propose several potential therapeutic approaches that may guide future attempts to increase the effectiveness of cancer therapy.