Extracellular vesicles (EVs) of endocytic origin are known as exosomes. These vesicles are released by cells and are found in biofluids, such as saliva, urine, and plasma. These vesicles are made up of small RNA, DNA, proteins, and play a vital role in many physiological processes. In the central nervous system (CNS), they participate in various physiological processes such as stress of nerve cells, communication between the cells, synaptic plasticity, and neurogenesis. The role of exosomes in depression needs to be explored further. It is known that exosomes can cross the blood brain barrier (BBB), which is made up of glial cells astrocytes. One of the advantages of these vesicles is that they are able to transfer macromolecules like DNA, protein, mRNAs, and miRNAs to recipient cells. This review focuses on the potential role of exosomes in depression and their utilization as a treatment option or diagnostic tool of depression.