Exosomes are nanoscale vectors with a diameter of 30~100 nm secreted by living cells, and they are important media for intercellular communication. Recent studies have demonstrated that exosomes can not only serve as biomarkers for diagnosis, but also have great potential as natural drug delivery vectors. Exosomes can be loaded with therapeutic cargos, including small molecules, proteins, and oligonucleotides. Meanwhile, the unique biological compatibility, high stability, and tumor targeting of exosomes make them attractive in future tumor therapy. Though exosomes can effectively deliver bioactive materials to receptor cells, there is a wide gap between our current understanding of exosomes and their application as ideal drug delivery systems. In this review, we will briefly introduce the function and composition of exosomes, and mainly summarize the potential advantages and challenges of exosomes as drug carriers. Finally, this review is expected to provide new ideas for the development of exosome-based drug delivery systems.