Cancer remains the most common lethal disease in the world. Although the treatment choices for cancer are still limited, significant progress has been made over the past few years. By improving targeted drug therapy, drug delivery systems promoted the therapeutic effects of anti-cancer medications. Exosome is a kind of natural nanoscale delivery system with natural substance transport properties, good biocompatibility, and high tumor targeting, which shows great potential in drug carriers, thereby providing novel strategies for cancer therapy. In this review, we present the formation, distribution, and characteristics of exosomes. Besides, extraction and isolation techniques are discussed. We focus on the recent progress and application of exosomes in cancer therapy in four aspects: exosome-mediated gene therapy, chemotherapy, photothermal therapy, and combination therapy. The current challenges and future developments of exosome-mediated cancer therapy are also discussed. Finally, the latest advances in the application of exosomes as drug delivery carriers in cancer therapy are summarized, which provide practical value and guidance for the development of cancer therapy.