Mesenchymal stem cell‐derived exosomes (MSC‐Exo) offer promising therapeutic potential for various refractory diseases, presenting a novel therapeutic strategy. However, their clinical application encounters several obstacles, including low natural secretion, uncontrolled biological functions and inherent heterogeneity. On the one hand, physical stimuli can mimic the microenvironment dynamics where MSC‐Exo reside. These factors influence not only their secretion but also, significantly, their biological efficacy. Moreover, physical factors can also serve as techniques for engineering exosomes. Therefore, the realm of physical factors assumes a crucial role in modifying MSC‐Exo, ultimately facilitating their clinical translation. This review focuses on the research progress in applying physical factors to MSC‐Exo, encompassing ultrasound, electrical stimulation, light irradiation, intrinsic physical properties, ionizing radiation, magnetic field, mechanical forces and temperature. We also discuss the current status and potential of physical stimuli‐affected MSC‐Exo in clinical applications. Furthermore, we address the limitations of recent studies in this field. Based on this, this review provides novel insights to advance the refinement of MSC‐Exo as a therapeutic approach in regenerative medicine.