Although immunotherapy harnessing activity of the immune system against tumors has made great progress, the treatment efficacy remains limited in most cancers. Current anticancer immunotherapy is primarily based on T‐cell‐mediated cellular immunity, which highly relies on efficiency of triggering the cancer‐immunity cycle, namely, tumor antigen release, antigen presentation by antigen presenting cells, T cell activation, recruitment and infiltration of T cells into tumors, and recognition and killing of tumor cells by T cells. Unfortunately, these immunotherapies are restricted by inefficient drug delivery and acting on only a single step of the cancer‐immunity cycle. Due to high biocompatibility, low immunogenicity, intrinsic cell targeting, and easy chemical and genetic manipulation, extracellular vesicle (EV)‐based drug delivery systems are widely used to amplify anticancer immune responses by serving as an integrated platform for multiple drugs or therapeutic strategies to synergistically activate several steps of cancer‐immunity cycle. This review summarizes various mechanisms related to affecting cancer‐immunity cycle disorders. Meanwhile, preparation and application of EV‐based drug delivery systems in modulating cancer‐immunity cycle are introduced, especially in the improvement of T cell recruitment and infiltration into tumors. Finally, opportunities and challenges of EV‐based drug delivery systems in translational clinical applications are briefly discussed.