Exosomes are subtypes of vesicles secreted by almost all cells and can play an important role in intercellular communication. They contain various proteins, lipids, nucleic acids and other natural substances from their metrocytes. Exosomes are expected to be a new generation of drug delivery system due to their low immunogenicity, high potential to transfer bioactive substances and biocompatibility. However, exosomes themselves are not highly targeted, it is necessary to develop new surface modification techniques and targeted drug delivery strategies, which are the focus of drug delivery research. In this review, we introduced the biogenesis of exosomes and their role of intercellular communication. We listed various advanced exosome drug loading techniques. Emphatically, we summarized different exosome surface modification techniques and targeted drug delivery strategies. In addition, we discussed the application of exosomes in vaccine and briefly introduced milk exosomes. Finally, we clarified the clinical application prospects and shortcomings of exosomes.