Exosomes have recently been proposed as novel elements in the study of intercellular communication in normal and pathological conditions. The biomolecular composition of exosomes reflects the specialized functions of the original cells. Heat shock proteins (Hsps) are a group of chaperone proteins with diverse biological roles. In recent years, many studies have focused on the extracellular roles played by Hsps that appear to be involved in cancer development and immune system stimulation. Hsps localized on the surface of exosomes, secreted by normal and tumour cells, could be key players in intercellular cross-talk, particularly during the course of different diseases, such as cancer. Exosomal Hsps offer significant opportunities for clinical applications, including their use as potential novel biomarkers for the diagnoses or prognoses of different diseases, or for therapeutic applications and drug delivery.