Advanced melanoma is still a major challenge in oncology. In the early stages, melanoma can be treated successfully with surgery and the survival rate is high, nevertheless the survival rate drops drastically after metastasis dissemination. The identification of parameters predictive of the prognosis to support clinical decisions and of new efficacious therapies are important to ensure patients the best possible prognosis. Recent progress in nanotechnology allowed the development of nanoparticles able to protect drugs from degradation and to deliver the drug to the tumor. Modification of the nanoparticle surface by specific molecules improves retention and accumulation in the target tissue. In this review, we describe the potential role of nanoparticles in advanced melanoma treatment and discuss the current efforts of designing polymeric nanoparticles for controlled drug release at the site upon injection. In addition, we highlight the advances as well as the challenges of exosome-based nanocarriers as drug vehicles. We place special focus on the advantages of these natural nanocarriers in delivering various cargoes in advanced melanoma treatment. We also describe the current advances in knowledge of melanoma-related exosomes, including their biogenesis, molecular contents and biological functions, focusing our attention on their utilization for early diagnosis and prognosis in melanoma disease.