Prostate cancer (PCa) is the second most common cause of cancer-related mortality among men in the developed world. Conventional anti-PCa therapies are not effective for patients with advanced and/or metastatic disease. In most cases, cancer therapies fail due to an incomplete depletion of tumor cells, resulting in tumor relapse. Exosomes are involved in tumor progression, promoting the angiogenesis and migration of tumor cells during metastasis. These structures contribute to the dissemination of pathogenic agents through interaction with recipient cells. Exosomes may deliver molecules that are able to induce the transdifferentiation process, known as "epithelial to mesenchymal transition". The composition of exosomes and the associated possibilities of interacting with cells make exosomes multifaceted regulators of cancer development. Extracellular vesicles have biophysical properties, such as stability, biocompatibility, permeability, low toxicity and low immunogenicity, which are key for the successful development of an innovative drug delivery system. They have an enhanced circulation stability and bio-barrier permeation ability, and they can therefore be used as effective chemotherapeutic carriers to improve the regulation of target tissues and organs. Exosomes have the capacity to deliver different types of cargo and to target specific cells. Chemotherapeutics, natural products and RNA have been encapsulated for the treatment of prostate cancers.