Tremendous progress in nanotechnology and nanomedicine has made a significant positive effect on cancer treatment by integrating multicomponents into a single multifunctional nanosized delivery system for combinatorial therapies. Although numerous nanocarriers developed so far have achieved excellent therapeutic performance in mouse models via elegant integration of chemotherapy, photothermal therapy, photodynamic therapy, sonodynamic therapy, and immunotherapy, their synthetic origin may still cause systemic toxicity, immunogenicity, and preferential detection or elimination by the immune system. Exosomes, endogenous nanosized particles secreted by multiple biological cells, could be absorbed by recipient cells to facilitate intercellular communication and content delivery. Therefore, exosomes have emerged as novel cargo delivery tools and attracted considerable attention for cancer diagnosis and treatment due to their innate stability, biological compatibility, and biomembrane penetration capacity. Exosome-related properties and functions have been well-documented; however, there are few reviews, to our knowledge, with a focus on the combination of exosomes and nanotechnology for the development of exosome-based theranostic platforms. To make a timely review on this hot subject of research, we summarize the basic information, isolation and functionalization methodologies, diagnostic and therapeutic potential of exosomes in various cancers with an emphasis on the description of exosome-related nanomedicine for cancer theranostics. The existing appealing challenges and outlook in exosome clinical translation are finally introduced. Advanced biotechnology and nanotechnology will definitely not only promote the integration of intrinsic advantages of natural nanosized exosomes with traditional synthetic nanomaterials for modulated precise cancer treatment but also contribute to the clinical translations of exosome-based nanomedicine as theranostic nanoplatforms.