The surface proteins on cell membranes enable the cells to have different properties, such as high biocompatibility, surface modifiability, and homologous targeting ability. Cell-membrane-derived vesicles have features identical to those of their parental cells, which makes them one of the most promising materials for drug delivery. Recently, as a result of the impressive effects of immunotherapy in cancer treatment, an increasing number of researchers have used cell-membrane-derived vesicles to enhance immune responses. To be more specific, the membrane vesicles derived from immune cells, tumor cells, bacteria, or engineered cells have the antigen presentation capacity and can trigger strong anti-tumor effects of the immune system. In this review, we first indicated a brief description of the vesicles and then introduced the detection technology and drug-loading methods for them. Secondly, we concluded the characteristics and applications of vesicles derived from different sources in cancer immunotherapy.