With the development of novel treatments for autoimmune disorders, it has become a popular research focus which mesenchymal stem cells (MSCs) have the capacity to counteract with autoimmune diseases progression. One of the underlying mechanisms behind their activities is the release of extracellular vesicles especially exosomes. MSC-derived exosomes are hypoimmunogenic nanocarriers which contain numerous immunoregulatory factors and similar to other exosomes, are able to pass through boundaries like the blood-brain barrier (BBB). Accumulating evidence provided by animal studies has demonstrated that MSC-derived exosomes, as a novel therapy, can re-induce self-tolerance, without subsequent complications reported for other treatments. Therefore, therapeutic applications of MSC-derived exosomes are contributing to core advances in the field of autoimmune diseases. Here, we briefly describe the biological characteristics of MSC-derived exosomes and review the experimentally verified outcomes for autoimmune disease therapy purposes.