Exosomes, nanosized extracellular vesicles of 30–150 nm, are shed by almost all cell types. Bearing proteins, lipids, RNAs, and DNAs, exosomes have emerged as vital biological mediators in cell-to-cell communication, affecting a plethora of physiological and pathological processes. Particularly, mounting evidence indicates that immunologically active exosomes can regulate both innate and adaptive immune responses. Herein, we review recent advances in the research of exosomes in several immune-mediated eye diseases, including Sjögren’s syndrome (SS) dry eye, corneal allograft rejection, autoimmune uveitis, and age-related macular degeneration (AMD). Additionally, we discuss the potential of exosomes as novel biomarkers and drug delivery vesicles for the diagnosis and treatment of eye diseases.