Tumor-associated immune cells frequently display tumor-supportive phenotypes. These phenotypes, induced by the tumor microenvironment (TME), are described for both the adaptive and the innate arms of the immune system. Furthermore, they occur at all stages of immune cell development, up to effector function. One major factor that contributes to the immunosuppressive nature of the TME is hypoxia. In addition to directly inhibiting immune cell function, hypoxia affects intercellular crosstalk between tumor cells and immune cells. Extracellular vesicles (EVs) play an important role in this intercellular crosstalk, and changes in both the number and content of hypoxic cancer-cell-derived EVs are linked to the transfer of hypoxia tolerance. Here, we review the current knowledge about the role of these hypoxic cancer-cell-derived EVs in immunosuppression. In addition, we provide an overview of hypoxia-induced factors (i.e., miRNA and proteins) in tumor-derived EVs, and their role in immunomodulation.