Cancer is one of the leading causes of mortality and morbidity globally. Many types of cancer treatments have been developed, such as chemotherapy, surgery, radiotherapy, and immunotherapy. However, these therapies can also kill healthy cells and lead to severe side effects. Therefore, scientists are looking for new strategies to eliminate cancerous cells specifically. Exosomes, nanometer-sized lipid bilayer-enclosed vesicles secreted from various cell types, exist in nearly all body fluids, including blood, breast milk, saliva, urine, bile, pancreatic juice, cerebrospinal, and peritoneal fluids. They carry myriad donor cell-derived bioactive molecules such as proteins, lipids, and RNAs (including microRNA and lncRNA) and can deliver them to both nearby and distant recipient cells. Due to these characteristics, exosomes have attracted great interest in cancer treatment (especially serving as a biological carrier for some drugs, microRNA, lncRNA, inhibitors, and antibodies). In this paper, we will review the current knowledge of exosome therapeutic applications in cancer.