Rheumatoid arthritis (RA) is an autoimmune disease that causes inflammation, pain, and ultimately, bone erosion of the joints. The causes of this disease are multifactorial, including genetic factors, such as the presence of the human leukocyte antigen (HLA)-DRB1*04 variant, alterations in the microbiota, or immune factors including increased cytotoxic T lymphocytes (CTLs), neutrophils, or elevated M1 macrophages which, taken together, produce high levels of pro-inflammatory cytokines. In this review, we focused on the function exerted by osteoclasts on osteoblasts and other osteoclasts by means of the release of exosomal microRNAs (miRNAs). Based on a thorough revision, we classified these molecules into three categories according to their function: osteoclast inhibitors (miR-23a, miR-29b, and miR-214), osteoblast inhibitors (miR-22-3p, miR-26a, miR-27a, miR-29a, miR-125b, and miR-146a), and osteoblast enhancers (miR-20a, miR-34a, miR-96, miR-106a, miR-142, miR-199a, miR-324, and miR-486b). Finally, we analyzed potential therapeutic targets of these exosomal miRNAs, such as the use of antagomiRs, blockmiRs, agomiRs and competitive endogenous RNAs (ceRNAs), which are already being tested in murine and ex vivo models of RA. These strategies might have an important role in reestablishing the regulation of osteoclast and osteoblast differentiation making progress in the development of personalized medicine.