Extracellular vesicles (EVs) become one of the most important sources of cancer biomarkers during the past decade due to their wide distribution in body fluids and physiological stability. Previous studies mainly focused on nucleic acids and proteins, while lipids and metabolites were largely neglected. Noticeably, many of those micromolecules exhibited a high abundance in EVs. Revealing the metabolomics and lipidomics of EVs would provide more comprehensive information for biomarker discovery. With the rapid development of mass spectrometry (MS) facilities, MS‐based micromolecule detection has become an emerging technique for EVs studies. Increasing evidence demonstrated the presence of EV‐associated metabolites and lipids in different types of samples (e.g., cell, urine, serum, stool), which exhibited promising performance in cancer diagnosis, prognosis, and prediction of treatment responses. This review aims to summarize advances in micromolecule profiling of EVs for cancer biomarker discovery, with an emphasis on MS‐based metabolomic and lipidomic analytical techniques. Challenges in this field, including the minimum sample quantity, normalization methods, and compound identifications, are also discussed along with possible solutions.