Exosomes belong to the group of extracellular vesicles (EVs) that derive from various cell populations and mediate intercellular communication in health and disease. Like hormones or cytokines, exosomes released by cells can play a potent role in the communication between the cell of origin and distant cells in the body to maintain homeostatic or pathological processes, including tumorigenesis. The nucleic acids, and lipid and protein cargo present in the exosomes are involved in a myriad of carcinogenic processes, including cell proliferation, tumor angiogenesis, immunomodulation, and metastasis formation. The ability of exosomal proteins to mediate direct functions by interaction with other cells qualifies them as tumor-specific biomarkers and targeted therapeutic approaches. However, the heterogeneity of plasma-derived exosomes consistent of (a) exosomes derived from all kinds of body cells, including cancer cells and (b) contamination of exosome preparation with other extracellular vesicles, such as apoptotic bodies, makes it challenging to obtain solid proteomics data for downstream clinical application. In this manuscript, we review these challenges beginning with the choice of different isolation methods, through the evaluation of obtained exosomes and limitations in the process of proteome analysis of cancer-derived exosomes to identify novel protein targets with functional impact in the context of translational oncology.