Vascular calcification (VC) is caused by hydroxyapatite deposition in the intimal and medial layers of the vascular wall, leading to severe cardiovascular events in patients with hypertension, chronic kidney disease and diabetes mellitus. VC occurrences involve complicated mechanism networks, such as matrix vesicles or exosomes production, osteogenic differentiation, reduced cell viability, aging and so on. However, with present therapeutic methods targeting at VC ineffectively, novel targets for VC treatment are demanded. Exosomes are proven to participate in VC and function as initializers for mineral deposition. Secreted exosomes loaded with microRNAs are also demonstrated to modulate VC procession in recipient vascular smooth muscle cells. In this review, we targeted at the roles of exosomes during VC, especially at their effects on transporting biological information among cells. Moreover, we will discuss the potential mechanisms of exosomes in VC.