Cancer theranostics developed through nanoengineering applications are essential for targeted oncologic interventions in the new era of personalized and precision medicine. Recently, small extracellular vesicles (sEVs) have emerged as an attractive nanoengineering platform for tumor-directed anticancer therapeutic delivery and imaging of malignant tumors. These natural nanoparticles have multiple advantages over synthetic nanoparticle-based delivery systems, such as intrinsic targeting ability, less immunogenicity, and a prolonged circulation time. Since the inception of sEVs as a viable replacement for liposomes (synthetic nanoparticles) as a drug delivery vehicle, many studies have attempted to further the therapeutic efficacy of sEVs. This article discusses engineering strategies for sEVs using physical and chemical methods to enhance their anticancer therapeutic delivery performance. We review physio-chemical techniques of effective therapeutic loading into sEV, sEV surface engineering for targeted entry of therapeutics, and its cancer environment sensitive release inside the cells/organ. Next, we also discuss the novel hybrid sEV systems developed by a combination of sEVs with lipid and metal nanoparticles to garner each component's benefits while overcoming their drawbacks. The article extensively analyzes multiple sEV labeling techniques developed and investigated for live tracking or imaging sEVs. Finally, we discuss the theranostic potential of engineered sEVs in future cancer care regimens.