Chemically engineered nanomaterials have been extensively used in early tumor detection and cancer therapy. Despite the promise shown, their chemical or exogenous nature hinders their application due to their unknown adverse effects. Herein, using a cancer cell environment, fluorescent DNA-gold nanostructures were bio-self-assembled through simple incubation of DNA and Au solutions with cancer cells. In situ, ex vivo, bio-responsive self-assembly of ring-shaped DNA-Au nanostructures is reported for the first time. Subsequently, the exosomes released by the above-mentioned cancer cells were found to carry the self-assembled DNA-Au nanostructures, exhibiting strong in vivo dual fluorescence properties. Interestingly, these exosomes could be immediately taken up in vitro by their parent cells, reaching the nucleus within 10 min after incubation. Taking advantage of the unique endogenous properties of exosomes, and their advanced cargo delivery capacity, we further exploited the DNA-Au nanostructure loaded exosomes with mitoxantrone for accurate cancer theranostics. The in vitro and in vivo results showed that the exosomes could effectively deliver the drug cargo to cancerous cells, hence, displaying an enhanced targeting effect towards parent cancer cells, and a synergistic tumor inhibition effect, while showing great biocompatibility towards normal cells and vital organs. Hence, exosomes carrying the in situ bio-self-assembled DNA-Au nanostructures could be an outstanding delivery system for dye-free targeted cancer detection and therapy.