Exosome is a kind of extracellular vesicles secreted by cells to the outside. Biogenesis mainly involves two invaginations of the cytoplasmic membrane, the formation of multivesicular bodies, and the release of exosomes. Exosomes have abundant and diverse inclusions—including landmark membrane proteins, soluble proteins, various RNA molecules and DNA fragments, etc. Cells can achieve intercellular signal communication by secreting and receiving exosomes. Through interaction of ligand molecules on the exosome membrane with receptors on the surface of other cytoplasmic membranes, exosomes can activate cell signal transduction or fuse with the cell membrane to release its contents into the cytoplasm to exert regulatory functions. In the central nervous system, exosomes secreted by neurons and various glial cells can mediate wired synaptic signal transmission, but mainly play a role similar to neuromodulator by way of volume transmission. In this paper, the biogenesis of exosomes and important functional components are described in detail, and the characteristics of neural exosomes in the biogenesis, content sorting and controlled release are compared with those of synaptic vesicles. We further review the research progress on the physiological functions of neural exosomes on the central nervous system and their roles in the occurrence and development of neurodegenerative diseases and major depressive disorder. We also prospect the application of exosomes in the early diagnosis and targeted therapy of nervous system diseases.