Acute pancreatitis (AP) is a prevalent clinical condition of the digestive system, with a growing frequency each year. Approximately 20% of patients suffer from severe acute pancreatitis (SAP) with local consequences and multi-organ failure, putting a significant strain on patients’ health insurance. According to reports, the lungs are particularly susceptible to SAP. Acute respiratory distress syndrome, a severe type of acute lung injury (ALI), is the primary cause of mortality among AP patients. Controlling the mortality associated with SAP requires an understanding of the etiology of AP-associated ALI, the discovery of biomarkers for the early detection of ALI, and the identification of potentially effective drug treatments. Exosomes are a class of extracellular vesicles with a diameter of 30–150 nm that are actively released into tissue fluids to mediate biological functions. Exosomes are laden with bioactive cargo, such as lipids, proteins, DNA, and RNA. During the initial stages of AP, acinar cell-derived exosomes suppress forkhead box protein O1 expression, resulting in M1 macrophage polarization. Similarly, macrophage-derived exosomes activate inflammatory pathways within endothelium or epithelial cells, promoting an inflammatory cascade response. On the other hand, a part of exosome cargo performs tissue repair and anti-inflammatory actions and inhibits the cytokine storm during AP. Other reviews have detailed the function of exosomes in the development of AP, chronic pancreatitis, and autoimmune pancreatitis. The discoveries involving exosomes at the intersection of AP and acute lung injury (ALI) are reviewed here. Furthermore, we discuss the therapeutic potential of exosomes in AP and associated ALI. With the continuous improvement of technological tools, the research on exosomes has gradually shifted from basic to clinical applications. Several exosome-specific non-coding RNAs and proteins can be used as novel molecular markers to assist in the diagnosis and prognosis of AP and associated ALI.