Since the end of 2019, severe acute respiratory syndrome coronavirus 2 (SARS‐CoV‐2) has spread as a new strain of coronavirus disease (COVID‐19) and progressed as a global pandemic. Exosomes are membrane‐bound vesicles released from almost all cells and are crucially involved in cell–cell communication. Interestingly, COVID‐19 viral particles produce exosomes that moderate communication between infected and uninfected cells. Hence, there is growing evidence highlighting the crucial implications of exosomes in COVID‐19 infection, transmission, intercellular spread, and reinfection. On the other hand, clinical trials have demonstrated mesenchymal stem cell‐derived exosomes as a promising therapeutic strategy for severely affected COVID‐19 patients. Also, convalescent plasma‐derived exosomes have been proposed for multiple efficacies in COVID‐19 patients. Furthermore, messenger RNAs (mRNA)‐loaded exosomes were superior to mRNA‐loaded lipid nanoparticles as a delivery system. Hence, exosomes can be used to safely induce SARS‐CoV‐2 immunity via their loading with mRNAs encoding immunogenic forms of SARS‐CoV‐2 spike and nucleocapsid proteins. Moreover, exosomes can be used as a nano‐delivery system for microRNA to alleviate cytokine storm and prevent the progression of organ failure in COVID‐19 patients. The present review summarizes state of the art concerning the role of exosomes in COVID‐19 infection and accompanying organ complications as well as the potential use of exosomes in COVID‐19 diagnosis, treatment, drug delivery, and vaccination. The review also sheds the light on the common biogenic pathway between the SARS‐CoV‐2 virus and exosomes. Additionally, the latest and current clinical trials using exosomes for COVID‐19 infection are summarized.