Exosomes are small vesicles containing proteins, nucleic acids, and biological lipids, which are responsible for intercellular communication. Studies have shown that exosomes can be utilized as effective drug delivery vehicles to accurately deliver therapeutic substances to target tissues, enhancing therapeutic effects and reducing side effects. Mesenchymal stem cells (MSCs) are a class of stem cells widely used for tissue engineering, regenerative medicine, and immunotherapy. Exosomes derived from MSCs have special immunomodulatory functions, low immunogenicity, the ability to penetrate tumor tissues, and high yield, which are expected to be engineered into efficient drug delivery systems. Despite the promising promise of MSC-derived exosomes, exploring their optimal preparation methods, drug-loading modalities, and therapeutic potential remains challenging. Therefore, this article reviews the related characteristics, preparation methods, application, and potential risks of MSC-derived exosomes as drug delivery systems in order to find potential therapeutic breakthroughs.