Cancer is a leading public health problem worldwide. Its treatment remains a daunting challenge, although significant progress has been made in existing treatments in recent years. A large concern is the poor therapeutic effect due to lack of specificity and low bioavailability. Gene therapy has recently emerged as a powerful tool for cancer therapy. However, delivery methods limit its therapeutic effects. Exosomes, a subset of extracellular vesicles secreted by most cells, have the characteristics of good biocompatibility, low toxicity and immunogenicity, and great designability. In the past decades, as therapeutic carriers and diagnostic markers, they have caught extensive attention. This review introduced the characteristics of exosomes, and focused on their applications as delivery carriers in DNA, messenger RNA (mRNA), microRNA (miRNA), small interfering RNA (siRNA), circular RNA (circRNA) and other nucleic acids. Meanwhile, their application in cancer therapy and exosome-based clinical trials were presented and discussed. Through systematic summarization and analysis, the recent advances and current challenges of exosome-mediated nucleic acid delivery for cancer therapy are introduced, which will provide a theoretical basis for the development of nucleic acid drugs.