Diabetes mellitus is a common clinical metabolic disease, and its destructive macrovascular complications and microvascular complications are one of the main reasons for the decline of patients’ life quality and even death. Therefore, many studies have been conducted to explore the pathogenesis of diabetic complications which is important for the diagnosis and treatment of diabetic patients. Exosomes (EXs) are vesicular bodies secreted by variety cells, and exchange intercellular information via bioactive molecules, such as microRNA (miRNA), proteins or lipids. It has been reported that EXs is a tool for the communication of miRNA and target cells due to its highly stability, lowly toxicity and immunogenicity and specifically targets. Current studies have found that EXs derived from different cells play different roles in diabetes complications. EXs miRNA can mediate renal tubular cell oxidative stress, pyroptosis and differentiation, and inhibit podocyte migration and apoptosis in diabetic kidney disease; EXs miRNA in diabetic retinopathy can inhibit endothelial cell growth, metastasis and angiogenesis, and inhibit retinal vascular inflammation and apoptosis; EXs miRNAs can regulate dorsal root ganglion neuron growth and inhibit neurovascular inflammation in diabetic peripheral neuropathy; EXs miRNAs in diabetic cardiomyopathy can regulate cardiomyocyte apoptosis and angiogenesis, inhibit myocardial inflammation and fibrosis. In addition, the change of EXs miRNA level can reflect the development of diabetes complications. Therefore, EXs miRNAs are expected to become new biomarkers and therapeutic targets for the prevention and treatment of diabetic complications in the future. However, the role of EXs miRNA on the diagnosis of diabetes complications is still unclear, and the mechanism of EXs miRNA on the improvement of diabetes complications are needs to be explored. It was reported that exercise benefits for the prevention and treatment of diabetes complications. Although acute or long-term exercise can regulate the expression of EXs miRNA, the regulation of EXs miRNA expression via acute or long-term interval and resistance exercise are few studies. Moreover, exercise plays a beneficial role in the pathological regulation of diabetes complications via the regulation of EXs miRNA or exerkines by improving endothelial cell function and insulin sensitivity, maintaining fat metabolism balance and inhibiting apoptosis, and promoting “cross talk” between tissues and organs. In the future, the specific mechanism of exercise-mediated EXs miRNA to improve diabetic complications still needs to be further explored.