Exosomes participate in many physiological and pathological processes by regulating cell-cell communication, which are involved in numerous diseases, including osteoarthritis (OA). Exosomes are detectable in the human articular cavity and were observed to change with OA progression. Several joint cells, including chondrocytes, synovial fibroblasts, osteoblasts, and tenocytes, can produce and secrete exosomes that influence the biological effects of targeted cells. In addition, exosomes from stem cells can protect the OA joint from damage by promoting cartilage repair, inhibiting synovitis, and mediating subchondral bone remodeling. This review summarizes the roles and therapeutic potential of exosomes in OA and discusses the perspectives and challenges related to exosome-based treatment for OA patients in the future.