Background. Mesenchymal stem cell-derived exosomes (MSC-exos) have been recognized as a promising therapeutic strategy for neonatal hypoxic-ischemic brain damage (HIBD). Recently, microglial pyroptosis was shown to play a vital role in the progression of neonatal HIBD. However, whether MSC-exos improve HIBD by regulating microglial pyroptosis remains unknown. Methods. Exosomes were isolated from human umbilical cord mesenchymal stem cells (huMSCs) and identified by transmission electron microscopy (TEM), western blot, and nanoparticle tracking analysis (NTA). BV-2 cells were subjected to oxygen-glucose deprivation/reoxygenation (OGD/R) to induce microglial ischemia/reperfusion (I/R) in vitro. CCK-8, ELISA, western blot, and Hoechst 33342/PI double staining were performed to detect the pyroptosis of BV-2 cells. Conditioned medium (CM) from BV-2 cells exposed to different treatments was used to investigate its effect on neuronal injury. Moreover, 3-methyladenine (3-MA) and mitochondrial division inhibitor-1 (mdi-1) were used to verify the involvement of mitophagy in the protection of MSC-exos against OGD/R-induced pyroptosis in BV-2 cells. Finally, FOXO3a siRNA was used to investigate the involvement of FOXO3a in MSC-exo-induced mitophagy and pyroptosis inhibition. Results. Exosomes from huMSCs were successfully extracted. In OGD/R-exposed BV-2 cells, MSC-exos increased cell viability and decreased the expression of NLRP3, cleaved caspase-1, and GSDMD-N as well as the release of IL-1β and IL-18. Compared with CM from OGD/R-exposed BV-2 cells treated with PBS, CM from OGD/R-exposed BV-2 cells treated with MSC-exos significantly increased the viability of SH-SY5Y cells and decreased LDH release. MSC-exos also increased the expression of TOM20 and COX IV in OGD/R-exposed BV-2 cells. Additionally, 3-MA and mdi-1 attenuated the inhibition of pyroptosis with MSC-exo treatment. Furthermore, FOXO3a siRNA partially abolished the neuroprotective effect of MSC-exos and attenuated mitophagy and pyroptosis inhibition induced by MSC-exo treatment. Conclusions. Our findings demonstrated that MSC-exos increased FOXO3a expression to enhance mitophagy, therefore protecting microglia from I/R-induced pyroptosis and alleviating subsequent neuronal injury.