Extracellular vesicles (EVs) are vesicles with lipid bilayer structures shed from the plasma membrane of cells. Microvesicles (MVs) are a subset of EVs containing proteins, lipids, nucleic acids, and other metabolites. MVs can be produced under specific cell stimulation conditions and isolated by modern separation technology. Due to their tumor homing and large volume, tumor cell-derived microvesicles (TMVs) have attracted interest recently and become excellent delivery carriers for therapeutic vaccines, imaging agents or antitumor drugs. However, preparing sufficient and high-purity TMVs and conducting clinical transformation has become a challenge in this field. In this review, the recent research achievements in the generation, isolation, characterization, modification, and application of TMVs in cancer therapy are reviewed, and the challenges facing therapeutic applications are also highlighted.