Emission of air pollutants, long-term tobacco use and advanced age can cause a variety of pulmonary diseases, which are associated with high mortality rates and pose a serious threat to human health. Recent studies have found that mesenchymal stem cells (MSCs) can independently migrate to the injured site, repair damaged tissues and participate in the regulation of systemic inflammation and immune response. These properties make the use of MSCs a promising therapeutic approach for the treatment of pulmonary disease, resulting in remarkable future clinical prospects. Exosomes are a type of extracellular vesicles which can participate in various physiological activities by regulating intercellular communication. Exosomes released into the extracellular space can also affect the host immune system. MSC-derived exosomes carry bioactive molecules such as proteins, lipids, mRNAs and microRNAs, which have higher safety profile and therapeutic potential compared to cell-based therapies. In this review, we summarize and discuss the preclinical and clinical studies conducted in recent years and the mechanisms of action of MSC-derived exosomes in the treatment of pulmonary diseases.