Brain metastases (BM) are a frequent complication in patients with advanced stages of cancer, associated with impairment of the neurological function, quality of life, prognosis, and survival. BM treatment consists of a combination of the available cancer therapies, such as surgery, radiotherapy, chemotherapy, immunotherapy and targeted therapies. Even so, cancer patients with BM are still linked to poor prognosis, with overall survival being reported as 12 months or less. Intercellular communication has a pivotal role in the development of metastases, therefore, it has been extensively studied not only to better understand the metastization process, but also to further develop new therapeutic strategies. Exosomes have emerged as key players in intercellular communication being potential therapeutic targets, drug delivery systems (DDS) or biomarkers. In this Review, we focus on the role of these extracellular vesicles (EVs) in BM formation and their promising application in the development of new BM therapeutic strategies.