Diabetic nephropathy (DN) is a global public health problem with high morbidity and increased risk of death. Its specific pathogenesis has not been clarified at present, and there is no effective treatment to prevent the disease from progressing to end-stage renal disease. Exosomes were previously considered as a kind of biological “waste”, but in recent years, studies have shown that exosomes mediate information exchange and material transfer between cells, and play an important role in normal state and disease pathophysiology. In DN-related research, renal intrinsic cell-derived exosomes are mainly involved in the occurrence and development of inflammatory response and fibrosis; mesenchymal stem cell-derived exosomes could play a renal protective role by regulating cell apoptosis, proliferation and immune response; urinary exosomal non-coding RNAs and proteins are expected to become novel biomarkers for the diagnosis and prediction of disease progression in DN. A comprehensive understanding of the biological role of exosomes in DN is conducive to promoting the development of relevant clinical translational experiments and developing new therapeutic strategies.