Alzheimer’s disease (AD) and Parkinson’s disease (PD) are the most common neurodegenerative diseases (NDDs) threatening the lives of millions of people worldwide, including especially elderly people. Currently, due to the lack of a timely diagnosis and proper intervention strategy, AD and PD largely remain incurable. Innovative diagnosis and therapy are highly desired. Exosomes are small vesicles that are present in various bodily fluids, which contain proteins, nucleic acids, and active biomolecules, and which play a crucial role especially in intercellular communication. In recent years, the role of exosomes in the pathogenesis, early diagnosis, and treatment of diseases has attracted ascending attention. However, the exact role of exosomes in the pathogenesis and theragnostic of AD and PD has not been fully illustrated. In the present review, we first introduce the biogenesis, components, uptake, and function of exosomes. Then we elaborate on the involvement of exosomes in the pathogenesis of AD and PD. Moreover, the application of exosomes in the diagnosis and therapeutics of AD and PD is also summarized and discussed. Additionally, exosomes serving as drug carriers to deliver medications to the central nervous system are specifically addressed. The potential role of exosomes in AD and PD is explored, discussing their applications in diagnosis and treatment, as well as their current limitations. Given the limitation in the application of exosomes, we also propose future perspectives for better utilizing exosomes in NDDs. Hopefully, it would pave ways for expanding the biological applications of exosomes in fundamental research as well as theranostics of NDDs.