The functionalization of covalent organic frameworks (COFs) with biomacromolecules can extend their functions, which is the premise of their application in biomedical research. However, strategies to functionalize COFs with biomacromolecules, which can ensure the stability in complex medium and minimize the undesired effects, are still lacking. In this work, we have proposed a strategy to functionalize COFs with DNA by covalently linking DNA to the functional group on the COF surface through Cu(I)-catalyzed azide/alkyne cycloaddition (CuAAC) reaction. The as-prepared DNA-functionalized COFs (DNA-COFs) can exhibit good hybridization ability and cargo loading ability; thus, we have designed a DNA-COF-based nanoprobe and then fabricated an electrochemical biosensor for the detection of exosomes. In this design, the functionalization with DNA enables COFs to recognize and capture exosomes, and the encapsulation of a large number of methylene blue (MB) in COFs facilitates signal amplification, which can enhance the sensitivity of the biosensor. Moreover, by simply replacing the oligonucleotide sequences, the strategy proposed here can generally be used to build different DNA-COFs with diverse functions for broader biomedical applications.