Vascular calcification (VC) is the abnormal deposition of calcium, phosphorus, and other minerals in the vessel wall and can be commonly observed in diabetes, chronic kidney disease, and chronic inflammatory disease. It is closely associated with mortality from cardiovascular events. Traditionally, calcification is considered as a degenerative disease associated with the aging process, while increasing evidence has shown that the occurrence and development of calcification is an active biological process, which is highly regulated by multiple factors. The molecular mechanisms of VC have not yet been fully elucidated. Exosomes, as important transporters of substance transport and intercellular communication, have been shown to participate in VC. The regulation of VC by exosomes involves a number of complex biological processes, which occur through a variety of interaction mechanisms. However, the specific role and mechanism of exosomes in the process of VC are still not fully understood and require further study. This review will briefly describe the roles of exosomes in the process of VC including in the promotion of extracellular mineral deposits, induction of phenotypic conversion of vascular smooth muscle cells (VSMCs), transport of microRNA between cells, and regulation on autophagy and oxidative stress, with the aim of providing novel ideas for the clinical diagnosis and treatment of VC.