Milk is a nutrient-rich food source, and among the various milks, breast milk is a nutrient source provided by mothers to newborns in many mammals. Exosomes are nano-sized membranous extracellular vesicles that play important roles in cell-to-cell communication. Exosomes originate from endogenous synthesis and dietary sources such as milk. Discovered through electron microscopy as floating vesicles, the existence of exosomes in human milk was confirmed owing to a density between 1.10 and 1.18 g/mL in a sucrose gradient corresponding to the known density of exosomes and detection of MHC classes I and II, CD63, CD81, and CD86 on the vesicles. To date, milk exosomes have been used for treating many diseases, including cancers, and are widely proposed as promising carriers for the delivery of chemotherapeutic agents. However, few studies on milk exosomes focus on geriatric health, especially sarcopenia and osteoporosis related to bone and muscle. Therefore, the present study focused on milk exosomes and their cargoes, which are potential candidates for dietary supplements, and when combined with drugs, they can be effective in treating musculoskeletal diseases. In this review, we introduce the basic concepts, including the definition, various sources, and cargoes of milk exosomes, and exosome isolation and characterization methods. Additionally, we review recent literature on the musculoskeletal system and milk exosomes. Since inflammation and oxidative stress underly musculoskeletal disorders, studies reporting the antioxidant and anti-inflammatory properties of milk exosomes are also summarized. Finally, the therapeutic potential of milk exosomes in targeting muscle and bone health is proposed.