With rising society stress, depression-induced osteoporosis is increasing. However, the mechanism involved is unclear. In this study, we explored the effect of plasma exosomal miRNAs on bone marrow mesenchymal stem cell (BMSC) osteogenic differentiation in a chronic unpredictable mild stress (CUMS)-induced depression rat model. After 12 weeks of CUMS-induced depression, the pathological changes in the bone tissue and markers of osteogenic differentiation were tested by micro-computed tomography, hematoxylin-eosin staining, and quantitative real-time reverse transcription PCR (qRT-PCR). Plasma exosomes from rats were isolated and co-incubated with BMSCs for 14 d to detect the effect on osteogenic markers. Next-generation sequencing identified the miRNAs in the plasma exosomes, and the differential miRNAs were analyzed and verified by qRT-PCR. BMSCs were infected with lentivirus to upregulate miRNA-30a-5p and incubated in a medium that induced osteogenic differentiation for 14 d. The effect of miR-30a-5p on osteogenic differentiation was determined by qPCR and alizarin red staining. CUMS-induced depression rat model was established successfully, and exhibited reduced bone mass and damaged bone microstructure compared to that of the controls. The observed pathological changes suggested the occurrence of osteoporosis in the CUMS group, and the mRNA expression of osteogenic markers was also significantly reduced. Incubation of BMSCs with plasma exosomes from the CUMS group for 14 d resulted in a significant decrease in the expression of osteogenic markers. Twenty-five differentially expressed miRNAs in plasma exosomes were identified and upregulation of miR-30a-5p was observed to significantly inhibit the expression of osteogenic markers in BMSCs. Our findings contributed to a comprehensive understanding of the mechanism of osteoporosis caused by depression, and demonstrated the potential of miR-30a-5p as a novel biomarker or therapeutic target for the treatment of osteoporosis.