Multivesicular bodies contain membrane vesicles which either undergo lysosomal digestion or are released in the extracellular environment as exosomes. Evidence is accumulating that supports a physiological role for exosomes in, for example, antigen presentation or removal of transferrin receptor during reticulocyte development. Here, inspired by observations on exosomal release from reticulocytes, we discuss the potential involvement of the so-called ESCRT mechanism in the entrapment of both lysosomal and exosomal cargo within the intralumenal vesicles of multivesicular bodies. We propose that this mechanism operates at different sites in the endocytic itinerary in different cells, thereby providing a tool for directional sorting. We also explore the possibility that the efficiency of sorting of molecules into exosomes increases when the recycling kinetics of molecules decreases, exosomal sorting being favored by intermolecular interactions occurring within lipid domains, or with protein webs, that slow lateral mobility. These considerations are mirrored in the context of current knowledge on the mechanism of protein sorting for degradation in lysosomes, and the hijacking of such mechanisms by some retroviruses for particle budding.