Exosomes, 60-90-nm-sized vesicles, are produced by a large number of cell types, including tumor cells, neurons, astrocytes, hemocytes, intestinal epithelial cells, and so on. Dendritic cell (DC), the most potent professional antigen-presenting cell in the immune system, produces exosomes in the course of maturation. Mature DCs produce exosomes with the ability to elicit potent immunoactivation, resulting in tumor eradication and bacterial or virus elimination. Given the notion that exosomes are stable and easy to be modified artificially, autologous mature DC-derived exosomes have been vaccinated into patients with malignant diseases. In clinical trials utilizing exosomes as therapeutic approaches, researchers observed considerable curative effect with little side effect. However, immature or suppressive DC-derived exosomes harbor anti-inflammatory properties distinct from mature DC-derived exosomes. In murine models of autoimmune disease and transplantation, immature DC-derived exosomes reduced T cell-dependent immunoactivation, relieved clinical manifestation of autoimmune disease, and prolonged survival time of transplantation. Although the exact mechanism of how immature DC-derived exosomes function in vivo is still unclear, and there are no clinical trials regarding application of exosome vaccine into patients with autoimmune disease, we will analyze the promise of immature DC-derived exosomes as a subcellular vaccine in autoimmunity in this review.