Recent advances in ruminants’ milk-derived exosomes (EXO) have indicated a role of microRNAs (miRNAs) in cell-to-cell communication in dairy ruminants. The miRNAs EXO retain peculiar mechanisms of uptake from recipient cells, which enables the selective delivery of cargos, with a specific regulation of target genes. Although many studies have been published on the miRNAs contained in milk, less information is available on the role of miRNAs EXO, which are considered stable over time and resistant to digestion and milk processing. Several miRNAs EXO have been implicated in the cellular signaling pathway, as in the regulation of immune response. Moreover, they exert epigenetic control, as extenuating the expression of DNA methyltransferase 1. However, the study of miRNAs EXO is still challenging due to the difficulty of isolating EXO. In fact, there are not agreed protocols, and different methods, often time-consuming, are used, making it difficult to routinely process a large number of samples. The regulation of cell functions in mammary glands by miRNAs EXO, and their applications as genomic markers in livestock, is presented.