As endogenous courier vesicles, exosomes play crucial roles in macromolecule transmission and intercellular communication. Therefore, exosomes have drawn increasing attention as biomimetic drug-delivery vehicles over the past few years. However, few studies have investigated the encapsulation of peptide/protein drugs into exosomes for oral administration. Additionally, the mechanisms underlying their biomimetic properties as oral delivery vehicles remain unknown. Herein, insulin-loaded milk-derived exosomes (EXO@INS) were fabricated and the in vivo hypoglycemic effect was investigated on type I diabetic rats. Surprisingly, EXO@INS (50 and 30 IU/kg) elicited a more superior and more sustained hypoglycemic effect compared with that obtained with subcutaneously injected insulin. Further mechanism studies indicated that the origin of excellent oral-performance of milk-derived exosomes combined active multi-targeting uptake, pH adaptation during gastrointestinal transit, nutrient assimilation related ERK1/2 and p38 MAPK signal pathway activation and intestinal mucus penetration. This study provides the first demonstration that multifunctional milk-derived exosomes offer solutions to many of the challenges arising from oral drug delivery and thus provide new insights into developing naturally-equipped nanovehicles for oral drug administration.