Increasing evidence suggests the potential role of extracellular vesicles (EVs) in many lung diseases. According to their subcellular origin, secretion mechanism, and size, EVs are currently classified into three subpopulations: exosomes, microvesicles, and apoptotic bodies. Exosomes are released in most biofluids, including airway fluids, and play a key role in intercellular communication via the delivery of their cargo (e.g., microRNAs (miRNAs)) to target cell. In a physiological context, lung exosomes present protective effects against stress signals which allow them to participate in the maintenance of lung homeostasis. The presence of air pollution alters the composition of lung exosomes (dysregulation of exosomal miRNAs) and their homeostatic property. Indeed, besides their potential as diagnostic biomarkers for lung diseases, lung exosomes are functional units capable of dysregulating numerous pathophysiological processes (including inflammation or fibrosis), resulting in the promotion of lung disease progression. Here, we review recent studies on the known and potential role of lung exosomes/exosomal miRNAs, in the maintaining of lung homeostasis on one hand, and in promoting lung disease progression on the other. We will also discuss using exosomes as prognostic/diagnostic biomarkers as well as therapeutic tools for lung diseases.