Exosomes are extracellular vesicles with the smallest diameter, usually divided into cellular sources and body fluid sources. Due to their special properties different from cell-derived exosomes, the application of milk exosomes as an oral drug delivery system has increased greatly. This article introduces the physical and chemical properties of exosomes, separation technology, dyeing and labeling technology, targeted modification technology, and the application of milk exosomes in drug loading and disease therapies.