Microbial exopolysaccharides are peculiar polymers that are produced by living organisms and protect them against environmental factors. These polymers are industrially recovered from the medium culture after performing a fermentative process. These materials are biocompatible and biodegradable, possessing specific and beneficial properties for biomedical drug delivery systems. They can have antitumor activity, they can produce hydrogels with different characteristics due to their molecular structure and functional groups, and they can even produce nanoparticles via a self-assembly phenomenon. This review studies the potential use of exopolysaccharides as carriers for drug delivery systems, covering their versatility and their vast possibilities to produce particles, fibers, scaffolds, hydrogels, and aerogels with different strategies and methodologies. Moreover, the main properties of exopolysaccharides are explained, providing information to achieve an adequate carrier selection depending on the final application.