Triple-negative breast cancer (TNBC) is the most aggressive and refractory subtype of breast cancer, often occurring in younger patients with poor clinical prognosis. Given the current lack of specific targets for effective intervention, the development of better treatment strategies remains an unmet medical need. Over the last decade, the field of extracellular vesicles (EVs) has grown tremendously, offering immense potential for clinical diagnosis/prognosis and therapeutic applications. While TNBC-EVs have been shown to play an important role in tumorigenesis, chemoresistance and metastasis, they could be repurposed as potential biomarkers for TNBC diagnosis and prognosis. Furthermore, EVs from various cell types can be utilized as nanoscale drug delivery systems (NDDS) for TNBC treatment. Remarkably, EVs generated from specific immune cell subsets have been shown to delay solid tumour growth and reduce tumour burden, suggesting a new immunotherapy approach for TNBC. Intrinsically, EVs can cross the blood–brain barrier (BBB), which holds great potential to treat the brain metastases diagnosed in one third of TNBC patients that remains a substantial clinical challenge. In this review, we present the most recent applications of EVs in TNBC as diagnostic/prognostic biomarkers, nanoscale drug delivery systems and immunotherapeutic agents, as well as discuss the associated challenges and future directions of EVs in cancer immunotherapy.