Breast cancer has now surpassed lung cancer as the leading cause of cancer-related deaths among women worldwide. Given the urgent need for more effective treatment, extracellular vesicles (EVs) have gained attention as versatile and promising drug delivery systems. Derived from a variety of cell types, EVs can be loaded with therapeutic cargo or engineered to present specific surface ligands and receptors. These EV modifications enable them to overcome many limitations associated with conventional therapies. In this review, we highlight current methodologies for loading small molecule drugs, RNA-based therapeutics, and proteins into EVs through both pre-isolation (endogenous) and post-isolation (exogenous) methods. We further discuss recent advances in EV surface engineering strategies aimed at improving tumor-specific targeting and immunotherapeutic efficacy in breast cancer.