Exosomes are 30–150 nm small extracellular vesicles (sEVs) which are highly stable and encapsulated by a phospholipid bilayer. Exosomes contain proteins, lipids, RNAs (mRNAs, microRNAs/miRNAs, long non-coding RNAs/lncRNAs), and DNA of their parent cell. In pathological conditions, the composition of exosomes is altered, making exosomes a potential source of biomarkers for disease diagnosis. Exosomes can cross the blood–brain barrier (BBB), which is an advantage for using exosomes in the diagnosis of central nervous system (CNS) diseases. Neuropsychiatric diseases belong to the CNS diseases, and many potential diagnostic markers have been identified for neuropsychiatric diseases. Here, we review the potential diagnostic markers of exosomes in neuropsychiatric diseases and discuss the potential application of exosomal biomarkers in the early and accurate diagnosis of these diseases. Additionally, we outline the limitations and future directions of exosomes in the diagnosis of neuropsychiatric diseases.