The field of cancer research has massively grown in recent decades, leading to a better understanding of the underlying causes and greatly improving the therapeutic approaches. Breast cancer (BC) is the third leading cause of mortality among all cancers and the most common malignant disease in women worldwide, representing one in four of all cancers in women. The crosstalk between cancer cells and the surrounding microenvironment is crucial for tumor progression and metastatic process. Tumor cells communicate not only through classical paracrine signaling mechanisms, including cytokines, chemokines, growth factors, but also through “exosomes”. Exosomes are nano-vesicles that are released by various types of cells. Over the last decade, researchers have been attracted by the role of exosomes in breast cancer. It has been proven that exosomes influence major tumor-related pathways, including invasion, migration, epithelial-to-mesenchymal transition (EMT), metastasis, and drug resistance. Additionally, exosomes play important roles in clinical applications. Several studies have demonstrated the potential applications of exosomes in cancer therapy and diagnosis. Furthermore, exosomes have been engineered to function as nano-delivery systems of chemotherapeutic drugs. They can also be designed as vaccines to trigger the patient’s immune system. This review discusses the recent progress regarding the use of exosomes as drug delivery systems, therapeutic agents, biomarkers, and vaccines against breast cancer.