Quite recently, milk exosomes have been recognized as efficient drug delivery systems owing to their biocompatibility and easy availability for scale-up technologies. However, there are no reports of comparative studies with regards to drug delivery by milk exosomes derived from different species. In this study, we isolated and characterized milk exosomes of cow, buffalo, and goat by various techniques and tried to understand their drug loading capacity and functional efficiency in HepG2, HCT116, and A549 cells by using doxorubicin. Doxorubicin was loaded to milk exosomes by three methods, that is, incubation, saponin treatment, and sonication. The isolated exosomes were found to be spherical with a size of <200 nm and displayed specific markers, namely, CD81, HSP70, HSC70, and miRNAs. Drug loading studies revealed that goat milk exosomes had the highest loading capacity across all three methods. Doxorubicin-encapsulated goat milk exosomes resulted in the inhibition of cell viability, with low IC50 values in HepG2, HCT-116, and A549 cells. Doxorubicin-encapsulated goat exosomes displayed better IC50 values than cow and buffalo milk-derived counterparts. In line with this, the ability of doxorubicin-encapsulated goat milk exosomes to induce apoptosis in HepG2 and HCT-116 cells was higher than that of cow and buffalo milk exosomes and free doxorubicin. Furthermore, unbound goat milk exosomes significantly reduced cell viability as compared to cow and buffalo milk exosomes. The transepithelial transport assay shows that doxorubicin-loaded milk exosomes transport doxorubicin efficiently as compared to free doxorubicin in vitro. Doxorubicin released from milk exosomes shows a biphasic release pattern, burst release followed by sustained release. These observations are important in light of the emerging importance of milk-derived exosomes as drug carriers to treat cancers.