It is rapidly becoming evident that secreted vesicles, specifically exosomes, are the next generation of theranostic natural nanoparticles. "Theranostic" refers to the combined treatment and diagnosis of disease. Artificial nanoparticles have been widely used as theranostic molecules due to their unique properties. However, there are limitations to using them in clinical applications, mainly because of their toxicity, short-term circulation, and immunogenicity. Emerging evidence suggests that naturally occurring nanoparticles such as extracellular vesicles (EVs) may solve some of these limitations. One of many documented vesicles produced by cells, exosomes, are secreted by various cell types and under varying conditions. The small size range (30−120 nm), components, lack of toxicity, long-term circulation times, and low immunogenicity of exosomes make them very attractive natural nanoparticles to use in diagnosing and treating diseases. In addition to acting as drug and nucleic acid vehicles, exosomes can carry and deliver magnetic nanoparticles like iron oxide nanoparticles (IONPs), plasmonically active gold nanorods (AuNRs), hollow gold nanoparticles (HGNPs), and gold nanoparticles (AuNPs). Loading and/or labeling exosomes with strategic nanoparticles makes theranostics easier and more effective because exosomes can facilitate cell−cell interaction, which increases their targeting efficiency as well as their ability to aid photothermal therapy in vitro and in vivo. However, the methods and approaches to successfully label and track these nanostructures are still being refined by the life sciences community. In this Review, we will discuss notable exosome labeling approaches that have been studied to enable exosomes to carry active nanoparticles for diagnostic, therapeutic, and photothermal therapy purposes. We will represent (1) the types of nanoparticles (NPs) and the approaches that are used to label exosomes with the NPs; (2) the applications of exosomes labeled with nanoparticles in vitro and in vivo; (3) the labeling strategy for exosomes identification and cancer detection.