Exosomes are vesicles encompassed by a lipid bilayer that are released by various living cells. Exosomal proteins are encapsulated within the membrane or embedded on the surface. As an important type of exosome cargo, exosomal proteins can reflect the physiological status of the parent cell and play an essential role in cell–cell communication. Exosomal proteins can regulate tumor development, including tumor-related immune regulation, microenvironment reconstruction, angiogenesis, epithelial–mesenchymal transition, metastasis, etc. The features of exosomal proteins can provide insight into exosome generation, targeting, and biological function and are potential sources of markers for cancer diagnosis, prognosis, and treatment. Here, we summarize the effects of exosomal proteins on cancer biology, the latest progress in the application of exosomal proteins in cancer diagnosis and prognosis, and the potential contribution of exosomal proteins in cancer therapeutics and vaccines.