The 2019 coronavirus disease (COVID-19) caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) has brought an enormous public health burden to the global society. The duration of the epidemic, the number of infected people, and the widespread of the epidemic are extremely rare in modern society. In the initial stage of infection, people generally show fever, cough, and dyspnea, which can lead to pneumonia, acute respiratory syndrome, kidney failure, and even death in severe cases. The strong infectivity and pathogenicity of SARS-CoV-2 make it more urgent to find an effective treatment. Mesenchymal stem cells (MSCs) are a kind of pluripotent stem cells with the potential for self-renewal and multi-directional differentiation. They are widely used in clinical experiments because of their low immunogenicity and immunomodulatory function. Mesenchymal stem cell-derived exosomes (MSC-Exo) can play a physiological role similar to that of stem cells. Since the COVID-19 pandemic, a series of clinical trials based on MSC therapy have been carried out. The results show that MSCs are safe and can significantly improve patients' respiratory function and prognosis of COVID-19. Here, the effects of MSCs and MSC-Exo in the treatment of COVID-19 are reviewed, and the clinical challenges that may be faced in the future are clarified.