The emergence of immunotherapy has marked a new epoch in cancer treatment, presenting substantial clinical benefits. Extracellular vesicles (EVs), as natural nanocarriers, can deliver biologically active agents in cancer therapy with their inherent biocompatibility and negligible immunogenicity. However, natural EVs have limitations such as inadequate targeting capability, low loading efficacy, and unpredictable side effects. Through progress in genetic engineering, EVs have been modified for enhanced delivery of immunomodulatory agents and antigen presentation with specific cancer targeting ability, deepening the role of EVs in cancer immunotherapy. This review briefly describes typical EV sources, isolation methods, and adjustable targeting of EVs. Furthermore, this review highlights the genetic engineering strategies developed for delivering immunomodulatory agents and antigen presentation in EV-based systems. The prospects and challenges of genetically engineered EVs as cancer immunotherapy in clinical translation are also discussed.