Pancreatic cancer is a fatal disease, and even with an increased commitment to pancreatic cancer research, the 5-year survival rate remains at approximately 6%. However, in the last decade, there has been a rising interest in the role of small extracellular vesicles called exosomes in the cancer field. Accumulating evidence shows that exosomes participate in early processes of tumorigenesis, tumor progression, and metastasis by mediating communication between cells or between cells and their surrounding microenvironment. In pancreatic cancer, exosomes play key roles in building pre-metastatic niches in the liver, inducing immune evasion, changing metabolism, mediating crosstalk between tumor and stromal cells, and causing low chemosensitivity. Although research exploring the roles of exosomes in pancreatic cancer is still in its infancy, the studies presented in this review highlight their potential value in developing novel tools, such as lipid biomarkers, treatment targets, and efficient drug delivery devices, for cancer diagnosis and therapy.