Extracellular vesicles (EVs) are known mediators of intercellular communication for both normal and tumour cells. With the capability to transfer nucleic acids, proteins and lipids, EVs are able to influence numerous functional and pathological aspects of both donor and recipient cells. The tumour microenvironment possesses a high level of complex heterogeneity, particularly within the most prominent brain malignancy, glioblastoma multiforme (GBM). This complexity relies on a network-based communication between many different components of the local niche, including the various cell types, stroma, blood vessels, secreted factors and surrounding matrix. Exosomes are one type of EV which facilitates this intercellular communication and cross-talk within the tumour microenvironment. Exosomes secreted by tumour cells are increasingly recognized in a number of processes underlying tumour progression including facilitating the transport of receptors, signalling molecules, oncogenic genes and miRNA. They are emerging as a key component in the biogenesis of glioma, in addition to contributing to the modification of the surrounding microenvironment to support tumour progression. In this review we describe advancements in the understanding of the biology of exosomes, as well as their roles in tumour progression, as a tumour biomarker for tracking cancer progression, and as a potential therapeutic target/delivery system, with a contextual emphasis on GBM.