Chimeric antigen receptor-engineered natural killer (CAR-NK) cell therapy has emerged as a promising cancer treatment by combining the antigen specificity of CAR engineering with the intrinsic cytotoxicity of NK cells. Compared with CAR-T cell therapy, CAR-NK cells exhibit a lower risk of graft-versus-host disease (GVHD), cytokine release syndrome (CRS), and immune-related toxicities while offering the potential for allogeneic “off-the-shelf” applications. Nevertheless, their therapeutic efficacy remains limited by insufficient persistence, poor trafficking, and the immunosuppressive tumor microenvironment (TME). Extracellular vesicles (EVs), particularly small EVs (sEVs) commonly referred to as exosomes, derived from CAR-NK cells inherit the tumor-targeting specificity and cytotoxic cargo of their parental cells while offering potential advantages of a cell-free format, including reduced proliferative risk, improved tissue penetration, enhanced biological stability, and the capacity to deliver therapeutic proteins, nucleic acids, and small molecules. Emerging preclinical evidence demonstrates that CAR-NK-derived sEVs can directly eliminate tumor cells while simultaneously modulating the TME, making them an attractive cell-free immunotherapeutic platform; however, their safety and pharmacological properties require dedicated validation. Despite their considerable promise, several challenges remain, including scalable manufacturing, standardized characterization, vesicle heterogeneity, cargo loading efficiency, biodistribution, and pharmacokinetic optimization. This review summarizes recent advances in CAR-NK-derived sEV research, critically discusses their biological properties, engineering strategies, preclinical evidence, translational challenges, and future clinical prospects, highlighting their emerging role at the intersection of cancer immunotherapy and nanomedicine.