Neurodegenerative disease refers to any pathological condition in which there is a progressive decline in neuronal function resulting from brain atrophy. Despite the immense efforts invested over recent decades in developing treatments for neurodegenerative diseases, effective therapy for these conditions is still an unmet need. One of the promising options for promoting brain recovery and regeneration is mesenchymal stem cell (MSC) transplantation. The therapeutic effect of MSCs is thought to be mediated by their secretome, and specifically, by their exosomes. Research shows that MSC-derived exosomes retain some of the characteristics of their parent MSCs, such as immune system modulation, regulation of neurite outgrowth, promotion of angiogenesis, and the ability to repair damaged tissue. Here, we summarize the functional outcomes observed in animal models of neurodegenerative diseases following MSC-derived exosome treatment. We will examine the proposed mechanisms of action through which MSC-derived exosomes mediate their therapeutic effects and review advanced studies that attempt to enhance the improvement achieved using MSC-derived exosome treatment, with a view towards future clinical use.