Bone and cartilage regeneration is a dynamic and complex process involving multiple cell types such as osteoblasts, osteoclasts, endothelial cells, etc. Stem cells have been proved with efficient capability to promote bone and cartilage regeneration and repair but the usage of cells harbors some important safety issues, such as immune rejection and carcinogenicity. Exosomes are non-cell structures secreted from various cells. The content of exosomes is enriched with proteins, such as cytoskeleton proteins, adhesion factors, transcription factors, etc. and a variety of nucleic acids, such as mRNA (Messenger RNA), long-chain non-coding RNA, microRNA (miRNA), etc. Exosomes can deliver a variety of contents from the parent cells to the recipient cells in different tissue backgrounds, influencing the phenotype and function of the recipient cells. Recent studies have demonstrated that miRNAs play significant roles in bone formation, suggesting that miRNAs may be novel therapeutic targets for bone and cartilage diseases. Exosomes have been shown with low/no immune rejection in vivo, no carcinogenic risk of infection, nor other side effects. In recent years, stem cell exosomes have been utilized to promote bone and cartilage regeneration processes during bone defect, bone fracture, cartilage repair, osteoporosis and osteoarthritis. In this review, we discuss different exosomes derived from stem cells and their interactions with target cells, including osteoblasts, chondrocytes and osteoclasts. We also put special highlights on the various signaling pathways involved in stem cell exosome-related bone and cartilage regeneration.