Extracellular vesicles (EVs), including exosomes, have an important role thanks to their ability to communicate and exchange information between tumor cells and the tumor microenvironment (TME), and have also been associated with communicating anti-cancer drug resistance (DR). The increase in proliferation of cancer cells alters oxygen levels, which causes hypoxia and results in a release of exosomes by the cancer cells. In this review, the results of studies examining the role of exosomal miRNA in DR, and their mechanism, are discussed in detail in hematological tumors: leukemia, lymphoma, and multiple myeloma. In conclusion, we underline the exosome’s function as a possible drug delivery vehicle by understanding its cargo. Engineered exosomes can be used to be more specific for personalized therapy.