Intercellular communication can be mediated by direct cell-to-cell contact and indirect interactions through secretion of soluble chemokines, cytokines, and growth factors. Extracellular vesicles (EVs) have emerged as important mediators of cell-to-cell and cell-to-environment communications. EVs from tumor cells, immune cells, and stromal cells can remodel the tumor microenvironment and promote cancer cell survival, proliferation, metastasis, immune evasion, and therapeutic resistance. Most importantly, EVs as natural nanoparticles can be manipulated to serve as a potent delivery system for targeted cancer therapy. EVs can be engineered or modified to improve their ability to target tumors and deliver therapeutic substances, such as chemotherapeutic drugs, nucleic acids, and proteins, for the treatment of cancer. This review provides an overview of the biogenesis and recycling of EVs, discusses their roles in cancer development, and highlights their potential as a delivery system for targeted cancer therapy.