Exosomal microRNAs (miRNAs) have been suggested to participate in the pathogenesis of neuropsychiatric diseases, but their role in major depressive disorder (MDD) is unknown. We performed a genome-wide miRNA expression profiling of blood-derived exosomes from MDD patients and control subjects and revealed the top differentially expressed exosomal miRNA, i.e. hsa-miR-139-5p (upregulation), had good performance to differentiate between MDD patients and controls. Tail vein injection of blood exosomes isolated from MDD patients into normal mice caused their depressive-like behaviors as determined by the forced swimming, tail suspension, and novelty suppressed feeding tests, and injection of blood exosomes isolated from healthy volunteers into unpredictable mild stress (CUMS)-treated mice alleviated their depressive-like behaviors. CUMS mice also showed significantly increased blood and brain levels of exosomal miR-139-5p. Furthermore, the depressive-like behaviors in CUMS-treated mice were rescued by intranasal injection of miR-139-5p antagomir, suggesting that increased exosomal miR-139-5p levels may mediate stress-induced depression-like behavior in mice. Both exosome treatment and miR-139-5p antagomir treatment increased hippocampal neurogenesis in the CUMS-treated mice, and treatment of exosome from MDD patients decreased hippocampal neurogenesis in the normal mice. The role of miR-139-5p in neurogenesis was validated by in vitro experiments, demonstrating that miR-139-5p is a negative regulator for neural stem cell proliferation and neuronal differentiation. Our findings together suggest that exosomes from patients with major depression caused depressive-like behaviors in mice with involvement of miR-139-5p-regulated neurogenesis. Therefore, exosomal miRNAs are promising targets for the diagnosis and treatment of MDD.