Mesenchymal stem cells (MSCs) have tumor-homing ability and play critical roles in tumor treatment, but their dual influences on tumor progression limit their therapeutic applications. Exosomes derived from MSCs (MSC-exosomes) exhibit great potential in targeted tumor treatment due to their advantages of high stability, low immunogenicity, good biocompatibility, long circulation time and homing characteristics. Furthermore, the artificial modification of MSC-exosomes could amplify their advantages and their inhibitory effect on tumors and could overcome the limit of tumor-promoting effect. In this review, we summarize the latest therapeutic strategies involving artificially modified MSC-exosomes in tumor treatment, including employing these exosomes as nanomaterials to carry noncoding RNAs or their inhibitors and anticancer drugs, and genetic engineering modification of MSC-exosomes. We also discuss the feasibility of utilizing artificially modified MSC-exosomes as an emerging cell-free method for tumor treatment and related challenges.