With the development of biomedicine, exosomes are rapidly developing as a new therapy for tumors. As biological carriers, exosomes possess biological activity and can transport their contents between cells. The contents are natural or artificially loaded with biomolecules or chemical drugs. Exosomes deliver biomolecules or chemical drugs into the pathological sites of recipient, which can effectively inhibit the progression of tumors. However, the treatments of tumors through the delivery of exosomes are not sufficiently accurate or efficient, and various challenges need to be overcome. Exosomes from different cell sources possess different characteristics, as well as different specificity for various cells. In the future, for the promotion and application of exosomes, it is of great significance to understand how to select appropriate exosomes loaded with biomolecules or chemical drugs for different tumors types, and how to deliver exosomes to recipient cells accurately and efficiently. This review introduces the application and challenges of exosomes as delivery carriers in tumors.