Astaxanthin (AST) is a type of ketone carotenoid having significant antioxidation and anticancer abilities. However, its application is limited due to its low stability and bioavailability. In our study, poly (lactic-co-glycolic acid) (PLGA)-encapsulated AST (AST@PLGA) nanoparticles were prepared by emulsion solvent evaporation method and then further processed by ultrasound with broccoli-derived extracellular vesicles (BEVs), thereby evolving as BEV-coated AST@PLGA nanoparticles (AST@PLGA@BEVs). The preparation process and methods were optimized by three factors and three levels of response surface method to increase drug loading (DL). After optimization, the DL was increased to 6.824%, and the size, polydispersity index, and zeta potential of AST@PLGA@BEVs reached 191.60 ± 2.23 nm, 0.166, and −15.85 ± 0.92 mV, respectively. Moreover, AST@PLGA@BEVs exhibited more notable anticancer activity than AST in vitro. Collectively, these results indicate that the method of loading AST in broccoli-derived EVs is feasible and has important significance for the further development and utilization of AST as a functional food.