Cancer is designated as one of the principal causes of mortality universally. Among different types of cancer, brain cancer remains the most challenging one due to its aggressiveness, the ineffective permeation ability of drugs through the blood–brain barrier (BBB), and drug resistance. To overcome the aforementioned issues in fighting brain cancer, there is an imperative need for designing novel therapeutic approaches. Exosomes have been proposed as prospective “Trojan horse” nanocarriers of anticancer theranostics owing to their biocompatibility, increased stability, permeability, negligible immunogenicity, prolonged circulation time, and high loading capacity. This review provides a comprehensive discussion on the biological properties, physicochemical characteristics, isolation methods, biogenesis and internalization of exosomes, while it emphasizes their therapeutic and diagnostic potential as drug vehicle systems in brain cancer, highlighting recent advances in the research field. A comparison of the biological activity and therapeutic effectiveness of several exosome-encapsulated cargo including drugs and biomacromolecules underlines their great supremacy over the non-exosomal encapsulated cargo in the delivery, accumulation, and biological potency. Various studies on cell lines and animals give prominence to exosome-based nanoparticles (NPs) as a promising and alternative approach in the management of brain cancer.