Exosomes, the extracellular vesicles produced in the endosomal compartments, facilitate the transportation of proteins as well as nucleic acids. Epigenetic modifications are now considered important for fine-tuning the response of cancer cells to various therapies, and the acquired resistance against targeted therapies often involves dysregulated epigenetic modifications. Depending on the constitution of their cargo, exosomes can affect several epigenetic events, thus impacting post-transcriptional regulations. Thus, a role of exosomes as facilitators of epigenetic modifications has come under increased scrutiny in recent years. Exosomes can deliver methyltransferases to recipient cells and, more importantly, non-coding RNAs, particularly microRNAs (miRNAs), represent an important exosome cargo that can affect the expression of several oncogenes and tumor suppressors, with a resulting impact on cancer therapy resistance. Exosomes often harbor other non-coding RNAs, such as long non-coding RNAs and circular RNAs that support resistance. The exosome-mediated transfer of all this cargo between cancer cells and their surrounding cells, especially tumor-associated macrophages and cancer-associated fibroblasts, has a profound effect on the sensitivity of cancer cells to several chemotherapeutics. This review focuses on the exosome-induced modulation of epigenetic events with resulting impact on sensitivity of cancer cells to various therapies, such as, tamoxifen, cisplatin, gemcitabine and tyrosine kinase inhibitors. A better understanding of the mechanisms by which exosomes can modulate response to therapy in cancer cells is critical for the development of novel therapeutic strategies to target cancer drug resistance.