Exosomes have emerged as a new drug delivery system. In particular, exosomes derived from mesenchymal stem cells (MSCs) have been extensively studied because of their tumor-homing ability and yield advantages. Considering that MSC-derived exosomes are a double-edged sword in the development, metastasis, and invasion of tumors, engineered exosomes have broad potential use. In this review, we focused on the latest development in the treatment of tumors using engineered and nonengineered MSC-derived exosomes (MSC-EXs). Nonengineered MSC-EXs exert an antitumor effect on several well-studied tumors by affecting tumor growth, angiogenesis, metastasis, and invasion. Furthermore, engineered exosomes have promising research prospects as drug-carrying tools for the transport of miRNAs, small-molecule drugs, and proteins. Although exosomes lack uniform standards in terms of definition, separation, and purification, they still have great research value because of their unique advantages, such as high biocompatibility and low toxicity. Future studies on MSC-EXs should elucidate the mechanisms underlying their anticancer effect and the safety of their application.