Exosomes are cell-secreted nanovesicles that naturally contain biomolecular cargoes such as lipids, proteins, and nucleic acids. Exosomes mediate intercellular communication, enabling the transfer biological signals from the donor cells to the recipient cells. Recently, exosomes are emerging as promising drug delivery vehicles due to their strong stability in blood circulation, high biocompatibility, low immunogenicity, and natural targeting ability. In particular, exosomes derived from specific types of cells can carry endogenous signaling molecules with therapeutic potential for cancer treatment, thus presenting a significant impact on targeted drug delivery and therapy. Furthermore, exosomes can be engineered to display targeting moieties on their surface or to load additional therapeutic agents. Therefore, a comprehensive understanding of exosome biogenesis and the development of efficient exosome engineering techniques will provide new avenues to establish convincing clinical therapeutic strategies based on exosomes. This review focuses on the therapeutic applications of exosomes derived from various cells and the exosome engineering technologies that enable the accurate delivery of various types of cargoes to target cells for cancer therapy.