Cancer remains one of the leading causes of death worldwide. Despite remarkable progress in prevention, diagnosis, and therapy, the incidence of certain types of cancer persists, urging the identification of clinically relevant biomarkers and the development of novel therapeutic strategies to improve clinical outcomes and overcome treatment resistance. Exosomes, small extracellular vesicles released by diverse types of cells, have attracted interest in biomedical research due to their potential as carriers for different treatments. Moreover, exosomes play a pivotal role in intercellular communication, modulating various cellular processes. One of those is autophagy, a pro-survival pathway that is essential for human cells. Even though autophagy is traditionally described as a catabolic route, its machinery is intricately involved in various cellular responses, including vesicle formation and secretion. In this regard, the link between autophagy and exosomes is complex, bidirectional, and highly dependent on the cellular context. Interestingly, both processes have been extensively implicated in cancer pathogenesis, highlighting their potential as therapeutic targets. This review updates our understanding of how exosomes can participate in cancer development and progression, with a specific focus on their influence on tumor growth, angiogenesis, and metastasis. Additionally, the interplay between these extracellular vesicles and autophagy is minutely reviewed and discussed, as we hypothesize that this crosstalk may hold valuable clues for biomarker discovery and the development of novel therapeutic strategies.