Tumors are the second leading cause of death worldwide. Exosomes are a type of extracellular vesicle secreted from multivesicular bodies, with particle sizes ranging from 40 to 160 nm. They regulate the tumor microenvironment, proliferation, and progression by transporting proteins, nucleic acids, and other biomolecules. Compared with other drug delivery systems, exosomes derived from different cells possess unique cellular tropism, enabling them to selectively target specific tissues and organs. This homing ability allows them to cross biological barriers that are otherwise difficult for conventional drug delivery systems to penetrate. Due to their biocompatibility and unique biological properties, exosomes can serve as drug delivery systems capable of loading various anti-tumor drugs. They can traverse biological barriers, evade immune responses, and specifically target tumor tissues, making them ideal carriers for anti-tumor therapeutics. This article systematically summarizes the methods for exosome isolation, including ultracentrifugation, ultrafiltration, size-exclusion chromatography (SEC), immunoaffinity capture, and microfluidics. However, these methods have certain limitations. A combination of multiple isolation techniques can improve isolation efficiency. For instance, combining ultrafiltration with SEC can achieve both high purity and high yield while reducing processing time. Exosome drug loading methods can be classified into post-loading and pre-loading approaches. Pre-loading is further categorized into active and passive loading. Active loading methods, including electroporation, sonication, extrusion, and freeze-thaw cycles, involve physical or chemical disruption of the exosome membrane to facilitate drug encapsulation. Passive loading relies on drug concentration gradients or hydrophobic interactions between drugs and exosomes for encapsulation. Pre-loading strategies also include genetic engineering and co-incubation methods. Additionally, we review approaches to enhance the targeting, retention, and permeability of exosomes. Genetic engineering and chemical modifications can improve their tumor-targeting capabilities. Magnetic fields can also be employed to promote the accumulation of exosomes at tumor sites. Retention time can be prolonged by inhibiting monocyte-mediated clearance or by combining exosomes with hydrogels. Engineered exosomes can also reshape the tumor microenvironment to enhance permeability. This review further discusses the current applications of exosomes in delivering various anti-tumor drugs. Specifically, exosomes can encapsulate chemotherapeutic agents such as paclitaxel to reduce side effects and increase drug concentration within tumor tissues. For instance, exosomes loaded with doxorubicin can mitigate cardiotoxicity and minimize adverse effects on healthy tissues. Furthermore, exosomes can encapsulate proteins to enhance protein stability and bioavailability or carry immunogenic cell death inducers for tumor vaccines. In addition to these applications, exosomes can deliver nucleic acids such as siRNA and miRNA to regulate gene expression, inhibit tumor proliferation, and suppress invasion. Beyond their therapeutic applications, exosomes also serve as tumor biomarkers for early cancer diagnosis. The detection of exosomal miRNA can improve the sensitivity and specificity of diagnosing prostate and pancreatic cancers. Despite their promising potential as drug delivery systems, challenges remain in the standardization and large-scale production of exosomes. This article explores the future development of engineered exosomes for targeted tumor therapy. Plant-derived exosomes hold potential due to their superior biocompatibility, lower toxicity, and abundant availability. Furthermore, the integration of exosomes with artificial intelligence may offer novel applications in diagnostics, therapeutics, and personalized medicine.