In recent years, the study of extracellular vesicles has been booming across various industries. Extracellular vesicles are considered one of the most important physiological endogenous carriers for the specific delivery of molecular information (nucleonic acid, cytokines, enzymes, etc.) between cells. It has been discovered that they perform a critical role in promoting tumor cell growth, proliferation, tumor cell invasion, and metastatic ability and regulating the tumor microenvironment to promote tumor cell communication and metastasis. In this review, we will discuss (1) the mechanism of extracellular vesicles generation, (2) their role in tumorigenesis and cancer progression (cell growth and proliferation, tumor microenvironment, epithelial-mesenchymal transition (EMT), invasion, and metastasis), (3) the role of extracellular vesicles in immune therapy, (4) extracellular vesicles targeting in tumor therapy, and (5) the role of extracellular vesicles as biomarkers. It is our hope that better knowledge and understanding of the extracellular vesicles will offer a wider range of effective therapeutic targets for experimental tumor research.