Exosomes are a subpopulation of cell membrane-derived vesicles which play an essential role in cellular communication. In recent years, several studies have exploited the natural properties of exosomes as nanocarriers for several applications such as immunotherapy or drug delivery. Consequently, numerous techniques have been developed to improve their immunogenicity, drug loading efficiency, or targeting. Nonetheless, to date, there is no consensus on which technique results in more advantages for this purpose. In this context, this review discusses the currently used methodologies regarding traditional and engineered exosome loading and targeting techniques. Here, we focus on the advantages and disadvantages of each method while discussing some results obtained in relevant reports. Although there is a lack of evidence regarding the effects of exogenous exosomes in humans and several limitations in exosome isolation and purification techniques at the large-scale exist, the formulation of new exosome-based therapeutics is in the spotlight. Therefore, the development of more efficient functionalization techniques is required to reduce the potential risks associated with the clinical use of these vesicles.