Various cells of the human physiological system have the capability to release extracellular vesicles (EVs) involved in intercellular transport of proteins and nucleic acids. Exosomes are a subtype of extracellular vesicles having their origin through endocytic pathway. While being involved in intercellular transport of macromolecules, exosomes, due to their presence in several body fluids, can also be utilized as a system to commute RNA molecules and proteins in the body. Recent advances in gene therapy have provided a new outlook in disease therapeutics by modulation of gene expression using oligonucleotide based approach and exosomes have been reported a potential carrier for nucleic acid based therapeutic moieties. In recent years, small interfering RNA (siRNA) has emerged as promising therapeutic alternative for diseases with gene-based pathophysiology, however poor bioavailability limits its therapeutic potential. For effective delivery and enhancement of bioavailability of siRNA, several carriers including dendrimers, liposomes, siRNA conjugates, and siRNA aptamer chimeras, to name a few, have been explored. Exosomes can be considered a promising carrier for effective delivery of siRNA due to their existence in body’s endogenous system and high tolerance. The present review focuses on delivering knowledge about exosomes, siRNA, and capability of exosomes to act as natural carriers for siRNA delivery.