Exosomes are extracellular vesicles secreted by various cells, mainly composed of lipid bilayers without organelles. In recent years, an increasing number of researchers have focused on the use of exosomes for drug delivery. Targeted drug delivery in the body is a promising method for treating many refractory diseases such as tumors and Alzheimer's disease (AD). Finding a suitable drug delivery carrier in the body has become a popular research today. In various drug delivery studies, the exosomes secreted by mesenchymal stem cells (MSC-EXOs) have been broadly researched due to their immune properties, tumor-homing properties, and elastic properties. While MSC-EXOs have apparent advantages, some unresolved problems also exist. This article reviews the studies on MSC-EXOs for drug delivery, summarizes the characteristics of MSC-EXOs, and introduces the primary production and purification methods and drug loading methods to provide solutions for existing problems and suggestions for future studies.