Extracellular vesicles (EVs) have been demonstrated to own the advantages in evading phagocytosis, crossing biological barriers, and possessing excellent biocompatibility and intrinsic stability. Based on these characteristics, EVs have been used as effective therapeutic carriers for drug delivery, but the low drug loading capacity greatly limits further applications. Herein, we developed a drug loading method based on cell-penetrating peptide (CPP) to enhance the encapsulation of therapeutic reagents in EVs, and EVs-based drug delivery system achieved higher killing efficacy to tumor cells. Urinary EVs and chemotherapy reagent doxorubicin (DOX) were used as model. It is easy to conjugate CPP with DOX (CPP-DOX) through the linker N-succinimidyl 3-maleimidopropionate (SMP). CPP-DOX was incubated with EVs under a mild condition, promoting the encapsulation of DOX into EV cavities. CPP-DOX-EVs showed strong anticancer ability since EVs delivery facilitated the uptake by cancer cells. EVs loading of CPP-DOX exhibited higher drug loading efficiency at 37.18%, presenting about 2.5 times increase in efficiency over EVs loading of DOX through passive incubation. Easy operation and controllable condition further reinforce the advantages compared with other loading methods. CPP-based drug loading method provides an effective strategy for EVs-based drug delivery system.