Exosomes can be considered natural targeted delivery systems able to carry exogenous payloads, drugs or theranostic nanoparticles (NPs). This work aims to combine the therapeutic capabilities of hollow gold nanoparticles (HGNs) with the unique tumor targeting properties provided by exosomes. Here, we tested different methods to encapsulate HGNs (capable of absorbing light in the NIR region for selective thermal ablation) into murine melanoma cells derived exosomes (B16-F10-exos), including electroporation, passive loading by diffusion, thermal shock, sonication and saponin-assisted loading. These methods gave less than satisfactory results: although internalization of relatively large NPs into B16-F10-exos was achieved by almost all the physicochemical methods tested, only about 15% of the exosomes were loaded with NPs and several of those processes had a negative effect regarding the morphology and integrity of the loaded exosomes. In a different approach, B16-F10 cells were pre-incubated with PEGylated HGNs (PEG-HGNs) in an attempt to incorporate the NPs into the exosomal biogenesis pathway. The results were highly successful: exosomes recovered from the supernatant of the cell culture showed up to 50% of HGNs internalization. The obtained hybrid HGN-exosome vectors were characterized with a battery of techniques to make sure that internalization of HGNs did not affect exosome characteristics compared with other strategies. PEG-HGNs were released through the endosomal-exosome biogenesis pathway confirming that the isolated vesicles were exosomes.