The intracellular microRNAs that negatively regulate Toll-like receptor 4 signaling pathways in peripheral blood mononuclear cells are associated with major depressive disorder (MDD). However, that the distribution of these microRNAs in exosomes could be a biomarker of central nervous system diseases is just beginning to be explored. In the present study, we isolated serum exosomes from patients with MDD and healthy controls to explore the levels of exosomal microRNAs, including let-7e, miR-21-5p, miR-223, miR-145, miR-146a, and miR-155. We also investigated the changes of these exosomal microRNAs after antidepressant treatment and their association with clinical changes in scores on the Hamilton Depression Rating Scale. An ANCOVA adjusted by age, sex, BMI, and smoking showed higher expression levels of miR-146a (p = 0.006) in patients with MDD compared to controls. Patients who achieved remission showed significantly lower let-7e, miR-21-5p, miR-145, miR-146a, and miR-155 levels before treatment and increased levels after antidepressant treatment compared with the non-remission group. Through receiver operating characteristic (ROC) analysis, let-7e, miR-145, and miR-146a showed acceptable discrimination between the remission and non-remission groups, whereas miR-21-5p and miR-155 showed poor discrimination. These findings demonstrate that exosomal microRNAs may play essential roles in predicting antidepressants response.