One of the limitations of cancer research has been the restricted focus on tumor cells and the omission of other non-malignant cells that are constitutive elements of this systemic disease. Current research is focused on the bidirectional communication between tumor cells and other components of the tumor microenvironment (TME), such as immune and endothelial cells, and nerves. A major success of this bidirectional approach has been the development of immunotherapy. Recently, a more complex landscape involving a multi-lateral communication between the non-malignant components of the TME started to emerge. A prime example is the interplay between immune and endothelial cells, which led to the approval of anti-vascular endothelial growth factor-therapy combined with immune checkpoint inhibitors and classical chemotherapy in non-small cell lung cancer. Hence, a paradigm shift approach is to characterize the crosstalk between different non-malignant components of the TME and understand their role in tumorigenesis. In this perspective, we discuss the interplay between nerves and immune cells within the TME. In particular, we focus on exosomes and microRNAs as a systemic, rapid and dynamic communication channel between tumor cells, nerves and immune cells contributing to cancer progression. Finally, we discuss how combinatorial therapies blocking this tumorigenic cross-talk could lead to improved outcomes for cancer patients.