Lipid-coated microbubbles are widely used as an ultrasound contrast agent, as well as drug delivery carriers. However, the two main limitations in ultrasound diagnosis and drug delivery using microbubbles are the short half-life in the blood system, and the difficulty of surface modification of microbubbles for active targeting. The exosome, a type of extracellular vesicle, has a preferentially targeting ability for its original cell. In this study, exosome-fused microbubbles (Exo-MBs) were developed by embedding the exosome membrane proteins into microbubbles. As a result, the stability of Exo-MBs is improved over the conventional microbubbles. On the same principle that under the exposure of ultrasound, microbubbles are cavitated and self-assembled into nano-sized particles, and Exo-MBs are self-assembled into exosome membrane proteins-embedded nanoparticles (Exo-NPs). The Exo-NPs showed favorable targeting properties to their original cells. A photosensitizer, chlorin e6, was loaded into Exo-MBs to evaluate therapeutic efficacy as a drug carrier. Much higher therapeutic efficacy of photodynamic therapy was confirmed, followed by cancer immunotherapy from immunogenic cell death. We have therefore developed a novel ultrasound image-guided drug delivery platform that overcomes the shortcomings of the conventional ultrasound contrast agent and is capable of simultaneous photodynamic therapy and cancer immunotherapy.