Multiple sclerosis (MS) is a chronic immune-mediated neurodegenerative disease of the central nervous system (CNS) characterized by inflammation, demyelination, and progressive neurological disability. Conventional disease-modifying therapies, including interferon-beta, glatiramer acetate, sphingosine-1-phosphate modulators, anti-CD20 antibodies, and immune reconstitution strategies, can reduce relapse activity and disease burden; however, their efficacy is limited by adverse effects, incomplete control of compartmentalized central nervous system (CNS) inflammation, and insufficient target specificity. In parallel, nanoparticles and exosomes have emerged as promising targeted platforms for drug delivery and immunomodulation because they may enhance blood-brain barrier (BBB) penetration and improve cell-specific delivery. This narrative review summarizes conventional and targeted therapeutic approaches in multiple sclerosis (MS), with emphasis on the translational promise and limitations of nanoparticle- and exosome-based strategies. Preclinical evidence from experimental autoimmune encephalomyelitis models and human clinical data are distinguished where appropriate. The review also highlights the major barriers that must be addressed before these approaches can be translated into routine clinical practice.