Extracellular vesicles (EV) released by tumor cells are a major aspect of the resistance-associated secretory phenotype (RASP), by which immune evasion can be established. Heat shock proteins (HSPs) are an evolutionarily conserved family of molecular chaperones, which stabilize proteins, minimize protein misfolding and aggregation within the cell, besides facilitating protein translocation, refolding and degradation. (i) Releases of extracellular HSPs (ex-HSP) and EV-associated HSPs (EV-HSP) are essential in RASP, by which molecular cotransfer of HSPs with oncogenic factors into recipient cells can promote cancer progression and resistance against stress such as hypoxia, radiation, chemicals, and immune system. (ii) RASP of tumor cells can eject anticancer drugs, molecularly targeted therapeutics, and immune checkpoint inhibitors with EVs. (iii) Cytotoxic lipids can be also released from tumor cells as RASP. Nevertheless, ex-HSP and EV-HSP can play immunostimulatory and immunosuppressive roles by binding to receptors such as LRP1/CD91/A2MR, scavenger receptors, and toll-like receptors expressed on recipient cells. Liquid biopsy of HSPs in body fluids may be useful in diagnosis, prognosis, and treatment in cancer. Regarding HSP90-targeted therapeutics, we summarize the pros, cons, and problem solutions in this review. Although production of HSPs are canonically induced by heat shock factor 1 (HSF1) and hypoxia-inducible factor 1 (HIF-1), recent studies discovered that production of HSPs is also regulated by matrix metalloproteinase 3 (MMP3) and heterochromatin protein 1 (HP1) and production of cochaperone CDC37 is reciprocally regulated by myeloid zinc finger 1 (MZF1) and SCAN-D1.