Extracellular vesicles (EVs) are nanoscale vesicles derived from cells that mediate intercellular communication by transporting bioactive molecules. They play significant roles in various physiological and pathological conditions. EVs hold great potential as novel biomarkers of diseases, therapeutic agents, and drug delivery vehicles. Furthermore, EVs as novel drug delivery vehicles have demonstrated significant advantages in preclinical settings. In this review, we discussed the biogenesis and characteristics of EVs and their functions in cancer. We summarize the therapeutic applications of EVs as a natural delivery vehicles in cancer therapy. We highlight the existing challenges, illuminate vital questions, and propose recommendations to effectively address them effectively.