Recent advances in micro- and nano-technologies allow the construction of complex active systems from biological and synthetic materials. An interesting example is active vesicles, which consist of a membrane enclosing self-propelled particles, and exhibit several features resembling biological cells. We investigate numerically the behavior of active vesicles, where the enclosed self-propelled particles can adhere to the membrane. A vesicle is represented by a dynamically triangulated membrane, while the adhesive active particles are modelled as active Brownian particles (ABPs) that interact with the membrane via the Lennard-Jones potential. Phase diagrams of dynamic vesicle shapes as a function of ABP activity and particle volume fraction inside the vesicle are constructed for different strengths of adhesive interactions. At low ABP activity, adhesive interactions dominate over the propulsion forces, such that the vesicle attains near static configurations, with protrusions of membrane-wrapped ABPs having ring-like and sheet-like structures. At moderate particle densities and strong enough activities, active vesicles show dynamic highly-branched tethers filled with string-like arrangements of ABPs, which do not occur in the absence of particle adhesion to the membrane. At large volume fractions of ABPs, vesicles fluctuate for moderate particle activities, and elongate and finally split into two vesicles for large ABP propulsion strengths. We also analyze membrane tension, active fluctuations, and ABP characteristics (e.g., mobility, clustering), and compare them to the case of active vesicles with non-adhesive ABPs. The adhesion of ABPs to the membrane significantly alters the behavior of active vesicles, and provides an additional parameter for controlling their behavior.