Extracellular vesicles (EVs) receive special attention from oncologists due to their assumed usefulness as prognostic markers, vaccines to induce anti-cancer immune response, and physiological delivery tools. The latter application, which supports the reduction of side effects of treatment, is still fraught with many challenges, including established methods for loading EVs with selected cargo and directing them towards target cells. EVs could be loaded with selected cargo either in vitro using several physicochemical techniques, or in vivo by modification of parental cell, which may have an advantage over in vitro procedures, since some of them significantly influence EVs’ properties. Otherwise, our research findings suggest that EVs could be passively supplemented with micro RNAs (miRNAs) or miRNA antagonists to induce expected biological effect. Furthermore, our observations imply that antigen-specific antibody light chains could coat the surface of EVs to increase the specificity of cell targeting. Finally, the route of EVs’ administration also determines their bioavailability and eventually induced therapeutic effect. Besides, EV membrane lipids may possibly possess immune adjuvant activity. The review summarizes the current knowledge on the possibilities to manipulate EVs to use them as a delivery tool, with the special emphasis on anti-cancer therapy.