Myocardial infarction (MI) is a major cause of morbidity and mortality in modern society. Over the past decades, mesenchymal stem cell (MSCs)-based therapy has shown promising results in the treatment of MI due to their unique properties of multi-differentiation ability, immune-privileged phenotype and paracrine activity. Recently, MSC-derived exosomes (MSC-EXO) have been proposed as a promising therapeutic strategy for MI with their ability to inhibit cardiomyocyte apoptosis and stimulate vascular angiogenesis. They also aid immunoregulation and rejuvenation of cardiomyocyte senescence by transporting their unique content such as proteins, lipids, and miRNAs. Compared with MSC transplantation, MSC-EXO administration has shown several advantages, including lower toxicity and immunogenicity and no risk of tumor formation. Nonetheless the potential mechanisms underlying MSC-EXO-based therapy for MI are not fully understood. In addition, lack of modification of MSC-EXOs can impact therapeutic efficacy. It is vital to optimize MSC-EXO and enhance their therapeutic efficacy for MI. We summarize the recent advances regarding biological characteristics, therapeutic potential and mechanisms, and optimal approaches to the use of MSC-EXOs in the treatment of MI.