Exosomes are extracellular vesicles with the diameter ranging from 50 to 100 nm and are found in different body fluids such as blood, cerebrospinal fluid (CSF), urine and saliva. Like in case of various diseases, based on the parent cells, the content of exosomes (protein, mRNA, miRNA, DNA, lipids and metabolites) varies and thus can be utilized as potential biomarker for diagnosis and prognosis of the brain diseases. Furthermore, utilizing the natural potential exosomes to cross the blood–brain barrier and by specifically decorating it with the ligand as per the desired brain sites therapeutics can be delivered to brain parenchyma. This review article conveys the importance of exosomes and their use in the treatment and diagnosis of brain/central nervous system diseases.