Immune dysfunction in early pregnancy including overactivation of cytotoxic CD16+ NK cells and proinflammatory M1 macrophages at the maternal–fetal interface interferes with trophoblast invasion, spiral artery remodeling, and decidualization, potentially leading to miscarriage. Immunosuppressants like glucocorticoids (GCs) are used to regulate the immune microenvironment in clinical treatment, but the lack of safe and efficient tissue‐specific drug delivery systems, especially immune cell‐specific vectors, limits their widespread clinical application. Here, a previously uncharacterized delivery system is reported, termed GC‐Exo‐CD16Ab, in which GCs are loaded into purified exosomes derived from human umbilical cord mesenchymal stem cells, and subsequently decorated with antibody CD16Ab. GC‐Exo‐CD16Ab is biocompatible and has remarkable delivery efficiency toward CD16+ decidual natural killer (NK) cells and CD16+ macrophages in mice. This innovative approach effectively suppresses the cytotoxicity of decidual NK cells, inhibits M1 macrophage polarization, and regulates the decidual microenvironment, thereby enhancing placental and fetal morphology, and ultimately mitigating miscarriage risk in the abortion‐prone mice. The developed GC‐Exo‐CD16Ab provides a feasible platform for precise and tissue‐specific therapeutic strategies for miscarriage and pregnancy‐related diseases.