Both natural and synthetic nanoparticles have been proposed as drug carriers in cancer treatment, since they can increase drug accumulation in target tissues, optimizing the therapeutic effect. As an example, extracellular vesicles (EV), including exosomes (Exo), can become drug vehicles through endogenous or exogenous loading, amplifying the anticancer effects at the tumor site. In turn, synthetic nanoparticles (NP) can carry therapeutic molecules inside their core, improving solubility and stability, preventing degradation, and controlling their release. In this review, we summarize the recent advances in nanotechnology applied for theranostic use, distinguishing between passive and active targeting of these vehicles. In addition, examples of these models are reported: EV as transporters of conventional anticancer drugs; Exo or NP as carriers of small molecules that induce an anti-tumor immune response. Finally, we focus on two types of nanoparticles used to stimulate an anticancer immune response: Exo carried with A Disintegrin And Metalloprotease-10 inhibitors and NP loaded with aminobisphosphonates. The former would reduce the release of decoy ligands that impair tumor cell recognition, while the latter would activate the peculiar anti-tumor response exerted by γδ T cells, creating a bridge between innate and adaptive immunity.