Mastitis, which affects milk quality and yield, is one of the most common diseases in dairy cows, causing large economic losses. Cow mastitis is classified into clinical and subclinical types. Subclinical mastitis presents without obvious lesions in the udder or noticeable change in milk samples, indicating persistent chronic infection that is difficult to detect and treat. Therefore, finding specific biomarkers is of great significance for the early diagnosis and treatment of subclinical mastitis. As mediators of intercellular communication, exosomes have been shown to be extensively involved in various physiological and pathological processes in the body. Exosomes in milk, blood, and cell supernatant can carry stable cell source-specific nucleic acids, proteins, and metabolites. Hence, exosomes show great application prospects for early diagnosis, targeted therapy, and disease mechanism analysis. In this review, we summarize the biogenesis, biological functions, and methods of isolating and identifying exosomes and review the current status of exosome research related to mastitis. Finally, in view of the application of exosomes to diagnose, treat, and perform disease mechanism analysis in mastitis, deficiencies in recent research on mastitis exosomes are described, and the direction of future exosome research efforts in mastitis is proposed.