There are many types of intercellular communication, and extracellular vesicles are one of the important forms of this. They are released by a variety of cell types, are heterogeneous, and can roughly be divided into microvesicles and exosomes according to their occurrence and function. Of course, exosomes do not just play a role in cell-to-cell communication. In the nervous system, exosomes can participate in intercellular communication, maintain the myelin sheath, and eliminate waste. Similarly, exosomes in the brain can play a role in central nervous system diseases, such as stroke, Alzheimer’s disease (AD), Parkinson’s disease (PD), prion disease, and traumatic encephalopathy (CTE), with both positive and negative effects (such as the transfer of misfolded proteins). Exosomes contain a variety of key bioactive substances and can therefore be considered as a snapshot of the intracellular environment. Studies have shown that exosomes from the central nervous system can be found in cerebrospinal fluid and peripheral body fluids, and that their contents will change with disease occurrence. Because exosomes can penetrate the blood brain barrier (BBB) and are highly stable in peripheral circulation, they can protect disease-related molecules well and therefore, using exosomes as a biomarker of central nervous system diseases is an attractive prospect as they can be used to monitor disease development and enable early diagnosis and treatment optimization. In this review, we discuss the current state of knowledge of exosomes, and introduce their pathophysiological roles in different diseases of the central nervous system as well as their roles and applications as a viable pathological biomarker.