Mesenchymal stem cells have been at the forefront of regenerative medicine for many years. Exosomes, which are nanovesicles involved in intercellular communication and the transportation of genetic material transportation that can be released by mesenchymal stem cells, have been recently reported to play a role in cell-free therapy of many diseases, including myocardial infarction, drug addiction, and status epilepticus. They are also thought to help ameliorate inflammation-induced preterm brain injury, liver injury, and various types of cancer. This review highlights recent advances in the exploration of mesenchymal stem cell-derived exosomes in therapeutic applications. The natural contents, drug delivery potency, modification methods, and drug loading methods of exosomes are also discussed.