Autoimmune diseases are characterized by damage and dysfunction of multiple organs and various complications. Recently, new therapies for autoimmune diseases have been proposed extensively, and there are growing researches focusing on the immunomodulatory abilities of mesenchymal stem cells (MSCs). As a kind of small vesicles secreted by cells, exosomes can be released by MSCs and other cells. Being enriched with protein, mRNA, microRNA, lipids and other cell contents, exosomes participate in the transfer of substances and information between cells, and regulate the biological functions of recipient cells, which may be a potential mechanism of the immunomodulation abilities of MSCs. A growing number of studies have shown that the exosomes secreted by MSCs have similar or even better immunomodulation abilities than MSCs, and their roles in the treatment of several autoimmune diseases have been confirmed in animal models. In this review, we briefly summarize the effects of MSCs and the MSCs-derived exosomes on the immune system and immune cells, especially focusing on the research progress of MSCs-derived exosomes in autoimmune diseases in recent years.