Several lineages of endoparasitoid wasps, which develop inside the body of other insects, have domesticated viruses, used as delivery tools of essential virulence factors for the successful development of their progeny. Virus domestications are major evolutionary transitions in highly diverse parasitoid wasps. Much progress has recently been made to characterize the nature of these ancestrally captured endogenous viruses that have evolved within the wasp genomes. Virus domestication from different viral families occurred at least three times in parasitoid wasps. This evolutionary convergence led to different strategies. Polydnaviruses (PDVs) are viral gene transfer agents and virus-like particles of the wasp Venturia canescens deliver proteins. Here, we take the standpoint of parasitoid wasps to review current knowledge on virus domestications by different parasitoid lineages. Then, based on genomic data from parasitoid wasps, PDVs and exogenous viruses, we discuss the different evolutionary steps required to transform viruses into vehicles for the delivery of the virulence molecules that we observe today. Finally, we discuss how endoparasitoid wasps manipulate host physiology and ensure parasitism success, to highlight the possible advantages of viral domestication as compared with other virulence strategies.