Extracellular vesicles (EVs) are membrane vesicles (MVs) playing important roles in various cellular and molecular functions in cell-to-cell signaling and transmitting molecular signals to adjacent as well as distant cells. The preserved cell membrane characteristics in MVs derived from live cells, give them great potential in biological applications. EVs are nanoscale particulates secreted from living cells and play crucial roles in several important cellular functions both in physiological and pathological states. EVs are the main elements in intercellular communication in which they serve as carriers for various endogenous cargo molecules, such as RNAs, proteins, carbohydrates, and lipids. High tissue tropism capacity that can be conveniently mediated by surface molecules, such as integrins and glycans, is a unique feature of EVs that makes them interesting candidates for targeted drug delivery systems. The cell-derived giant MVs have been exploited as vehicles for delivery of various anticancer agents and imaging probes and for implementing combinational phototherapy for targeted cancer treatment. Giant MVs can efficiently encapsulate therapeutic drugs and deliver them to target cells through the membrane fusion process to synergize photodynamic/photothermal treatment under light exposure. EVs can load diagnostic or therapeutic agents using different encapsulation or conjugation methods. Moreover, to prolong the blood circulation and enhance the targeting of the loaded agents, a variety of modification strategies can be exploited. This paper reviews the EVs-based drug delivery strategies in cancer therapy. Biological, pharmacokinetics and physicochemical characteristics, isolation techniques, engineering, and drug loading strategies of EVs are discussed. The recent preclinical and clinical progresses in applications of EVs and oncolytic virus therapy based on EVs, the clinical challenges and perspectives are discussed.