Mesenchymal stem cell-derived exosomes (MSC-Exos) are nano-sized extracellular vesicles which contain various MSC-sourced anti-fibrotic, immunoregulatory and angio-modulatory proteins (growth factors, immunoregulatory cytokines, chemokines), lipids, and nucleic acids (messenger RNA and microRNAs). Due to their lipid envelope, MSC-Exos easily by-pass all barriers in the body and deliver their cargo directly in target cells, modulating their viability, proliferation, phenotype and function. The results obtained in recently published experimental studies demonstrated beneficial effects of MSC-Exos in the treatment of lung fibrosis. MSC-Exos reduced activation of fibroblasts and prevented their differentiation in myofibroblasts. By delivering MSC-sourced immunoregulatory factors in lung-infiltrated monocytes and T cells, MSC-Exos modulate their function, alleviating on-going inflammation and fibrosis. MSC-Exos may also serve as vehicles for the target delivery of anti-fibrotic and immunomodulatory agents, enabling enhanced attenuation of lung fibrosis. Although numerous pre-clinical studies have demonstrated the therapeutic potential of MSC-Exos in the treatment of pulmonary fibrosis, there are several challenges that currently hinder their clinical implementation. Therefore, in this review article, we summarized current knowledge and we discussed future perspectives regarding molecular and cellular mechanisms which were responsible for the anti-fibrotic, anti-inflammatory and immunoregulatory properties of MSC-Exos, paving the way for their clinical use in the treatment of lung fibrosis.