Small extracellular vesicles (exosomes) are important components of the tumor microenvironment. They are small membrane-bound vesicles derived from almost all cell types and play an important role in intercellular communication. Exosomes transmit biological molecules obtained from parent cells, such as proteins, lipids, and nucleic acids, and are involved in cancer development. MicroRNAs (miRNAs), the most abundant contents in exosomes, are selectively packaged into exosomes to carry out their biological functions. Recent studies have revealed that exosome-delivered miRNAs play crucial roles in the tumorigenesis, progression, and drug resistance of hepatocellular carcinoma (HCC). In addition, exosomes have great industrial prospects in the diagnosis, treatment, and prognosis of patients with HCC. This review summarized the composition and function of exosomal miRNAs of different cell origins in HCC and highlighted the association between exosomal miRNAs from stromal cells and immune cells in the tumor microenvironment and the progression of HCC. Finally, we described the potential applicability of exosomal miRNAs derived from mesenchymal stem cells in the treatment of HCC.