Hydrogels, which are hydrophilic polymer networks, have attracted great attention, and significant advances in their biological and biomedical applications, such as for drug delivery, tissue engineering, and models for medical studies, have been made. Due to their similarity in physiological structure, hydrogels are highly compatible with extracellular matrices and biological tissues and can be used as both carriers and matrices to encapsulate cellular secretions. As small extracellular vesicles secreted by nearly all mammalian cells to mediate cell–cell interactions, exosomes play very important roles in therapeutic approaches and disease diagnosis. To maintain their biological activity and achieve controlled release, a strategy that embeds exosomes in hydrogels as a composite system has been focused on in recent studies. Therefore, this review aims to provide a thorough overview of the use of composite hydrogels for embedding exosomes in medical applications, including the resources for making hydrogels and the properties of hydrogels, and strategies for their combination with exosomes.