AbstractOur aim in this note is to establish exponential integrability and vanishing exponential integrability for Riesz potentials of functions in Morrey–Orlicz spaces. Our work generalizes results by Adams and Hurri‐Syrjänen (2003) and the authors (2007) from Orlicz case. We also discuss the size of the exceptional sets by using a capacity and Hausdorff measure.