Exosomes are nanovesicles secreted by various cells, which can transfer bioactive macromolecules such as proteins, lipids, and nucleic acids, and play an important role in intercellular information transfer. Increasing studies have shown that exosomes derived from some cell types, such as mesenchymal stem cells, natural killer cells, and neutrophils, have therapeutic potential, by participating in the regulation of the immune system and enhancing the killing ability of immune cells. In addition, exosomes released from infected cells can promote antigen presentation and immune cell activation, activate a variety of cellular immune factors, and mediate the cellular immune response. We review the direct and indirect roles of exosomes in viral, bacterial, and fungal infections to provide evidence for their clinical application.