Solid cancer contains a complicated communication network between cancer cells and components in the tumor microenvironment (TME), significantly influencing the progression of cancer. Exosomes function as key carriers of signaling molecules in these communications, including the intricate signalings of tumor-associated macrophages (TAMs) on cancer cells and the TME. With their natural lipid bilayer structures and biological activity that relates to their original cell, exosomes have emerged as efficient carriers in studies on cancer therapy. Intrigued by the heterogeneity and plasticity of both macrophages and exosomes, we regard macrophage-derived exosomes in cancer as a double-edged sword. For instance, TAM-derived exosomes, educated by the TME, can promote resistance to cancer therapies, while macrophage-derived exosomes generated in vitro have shown favorable potential in cancer therapy. Here, we depict the reasons for the heterogeneity of TAM-derived exosomes, as well as the manifold roles of TAM-derived exosomes in cancer progression, metastasis, and resistance to cancer therapy. In particular, we emphasize the recent advancements of modified macrophage-derived exosomes in diverse cancer therapies, arguing that these modified exosomes are endowed with unique advantages by their macrophage origin. We outline the challenges in translating these scientific discoveries into clinical cancer therapy, aiming to provide patients with safe and effective treatments.