Extracellular vehicles (EVs) are a heterogeneous group of cell and membranous particles originating from different cell compartments. EVs participate in many essential physiological functions and mediate fetal-maternal communications. Exosomes are the smallest unit of EVs, which are delivered to the extracellular space. Exosomes can be released by the umbilical cord, placenta, amniotic fluid, and amniotic membranes and are involved in angiogenesis, endothelial cell migration, and embryo implantation. Also, various diseases such as gestational hypertension, gestational diabetes mellitus (GDM), preterm birth, and fetal growth restriction can be related to the content of placental exosomes during pregnancy. Due to exosomes' ability to transport signaling molecules and their effect on sperm function, they can also play a role in male and female infertility. In the new insight, exosomal miRNA can diagnose and treat infertilities disorders. In this review, we focused on the functions of exosomes during pregnancy.