Breast cancer (BC) is the most frequently invasive malignancy and the leading cause of tumor-related mortality among women worldwide. Cancer metastasis is a complex, multistage process, which eventually causes tumor cells to colonize and grow at the metastatic site. Distant organ metastases are the major obstacles to the management of advanced BC patients. Notably, exosomes are defined as specialized membrane-enclosed extracellular vesicles with specific biomarkers, which are found in a wide variety of body fluids. Recent studies have demonstrated that exosomes are essential mediators in shaping the tumor microenvironment and BC metastasis. The transferred tumor-derived exosomes modify the capability of invasive behavior and organ-specific metastasis in recipient cells. BC exosomal components, mainly including noncoding RNAs (ncRNAs), proteins, lipids, are the most investigated components in BC metastasis. In this review, we have emphasized the multifaceted roles and mechanisms of tumor-derived exosomes in BC metastasis based on these important components. The underlying mechanisms mainly include the invasion behavior change, tumor vascularization, the disruption of the vascular barrier, and the colonization of the targeted organ. Understanding the significance of tumor-derived exosomal components in BC metastasis is critical for yielding novel routes of BC intervention.