Exosomes are a subset of extracellular vesicles produced by all cells, and they are present in various body fluids. Exosomes play crucial roles in tumor initiation/progression, immune suppression, immune surveillance, metabolic reprogramming, angiogenesis, and the polarization of macrophages. In this work, we summarize the mechanisms of exosome biogenesis and secretion. Since exosomes may be increased in the cancer cells and body fluids of cancer patients, exosomes and exosomal contents can be used as cancer diagnostic and prognostic markers. Exosomes contain proteins, lipids, and nucleic acids. These exosomal contents can be transferred into recipient cells. Therefore, this work details the roles of exosomes and exosomal contents in intercellular communications. Since exosomes mediate cellular interactions, exosomes can be targeted for developing anticancer therapy. This review summarizes current studies on the effects of exosomal inhibitors on cancer initiation and progression. Since exosomal contents can be transferred, exosomes can be modified to deliver molecular cargo such as anticancer drugs, small interfering RNAs (siRNAs), and micro RNAs (miRNAs). Thus, we also summarize recent advances in developing exosomes as drug delivery platforms. Exosomes display low toxicity, biodegradability, and efficient tissue targeting, which make them reliable delivery vehicles. We discuss the applications and challenges of exosomes as delivery vehicles in tumors, along with the clinical values of exosomes. In this review, we aim to highlight the biogenesis, functions, and diagnostic and therapeutic implications of exosomes in cancer.