Respiratory diseases are the cause of millions of deaths annually around the world. Despite the recent growth of our understanding of underlying mechanisms contributing to the pathogenesis of lung diseases, most therapeutic approaches are still limited to symptomatic treatments and therapies that only delay disease progression. Several clinical and preclinical studies have suggested stem cell (SC) therapy as a promising approach for treating various lung diseases. However, challenges such as the potential tumorigenicity, the low survival rate of the SCs in the recipient body, and difficulties in cell culturing and storage have limited the applicability of SC therapy. SC-derived extracellular vesicles (SC-EVs), particularly SC-derived exosomes (SC-Exos), exhibit most therapeutic properties of stem cells without their potential drawbacks. Similar to SCs, SC-Exos exhibit immunomodulatory, anti-inflammatory, and antifibrotic properties with the potential to be employed in the treatment of various inflammatory and chronic respiratory diseases. Furthermore, recent studies have demonstrated that the microRNA (miRNA) content of SC-Exos may play a crucial role in the therapeutic potential of these exosomes. Several studies have investigated the administration of SC-Exos via the pulmonary route, and techniques for SCs and SC-Exos delivery to the lungs by intratracheal instillation or inhalation have been developed. Here, we review the literature discussing the therapeutic effects of SC-Exos against respiratory diseases and advances in the pulmonary route of delivery of these exosomes to the damaged tissues.