In women, breast cancer (BC) is the most commonly diagnosed cancer (24.5%) and the leading cause of cancer death (15.5%). Understanding how this heterogeneous disease develops and the confirm mechanisms behind tumor progression is of utmost importance. Exosomes are long-range message vesicles that mediate communication between cells in physiological conditions but also in pathology, such as breast cancer. In recent years, there has been an exponential rise in the scientific studies reporting the change in morphology and cargo of tumor-derived exosomes. Due to the transfer of biologically active molecules, such as RNA (microRNA, long non-coding RNA, mRNA, etc.) and proteins (transcription factors, enzymes, etc.) into recipient cells, these lipid bilayer 30–150 nm vesicles activate numerous signaling pathways that promote tumor development. In this review, we attempt to shed light on exosomes’ involvement in breast cancer pathogenesis (including epithelial-to-mesenchymal transition (EMT), tumor cell proliferation and motility, metastatic processes, angiogenesis stimulation, and immune system repression). Moreover, the potential use of exosomes as promising diagnostic biomarkers for liquid biopsy of breast cancer is also discussed.