Sarcopenia is an aging syndrome characterized by progressive decline of skeletal muscle mass and strength. It is a great significance to explore its pathogenesis for the treatment and prevention of sarcopenia. Studies have shown that exosomes are closely related to sarcopenia, and may be a useful means of weakening/preventing sarcopenia, but its underlying mechanism remains unclear. Recent studies have shown that exosomes are rich in exerkines/cytokines, which not only participate in the “cross talk” between cells and tissues, but also mediate many pathophysiological processes including the proliferation and differentiation of skeletal muscle cells. Moreover, exercise can effectively improve sarcopenia by promoting the release of exosomes and regulating the expression of miRNAs and/or proteins carried by exosomes. In this paper, we summarized the exosomes and their biological characteristics, as well as the relationship between exosomes and sarcopenia. Firstly, exosomes themselves or the carried mRNA are involved in the aging, promoting the secretion of inflammatory factors and weakening the muscle protein breakdown (MPB) pathway, indicating the exosomes is important to improve the pathology of sarcopenia. There is a strategy for delaying MPB in sarcopenia by increasing the concentration and number of exosomes in skeletal muscle cells. Secondly, exosomes are closely associated with exercise. Both acute and long-term endurance exercise may promote the release of exosomes and induce a “qualitative” change in exosomes. Moreover, we also analyzed the influence of exercise on exosomes and its underlying mechanism. The underlying mechanism is that exercise would improve skeletal muscle homeostasis through activation of exosomes/exosomes-derived miRNAs or mediate protein degradation through activation of the PI3K/PKB/mTOR pathway, ultimately weakening sarcopenia.