Spinal cord injury (SCI) often leads to serious motor and sensory dysfunction of the limbs below the injured segment. SCI not only results in physical and psychological harm to patients but can also cause a huge economic burden on their families and society. As there is no effective treatment method, the prevention, treatment, and rehabilitation of patients with SCI have become urgent problems to be solved. In recent years, mesenchymal stem cells (MSCs) have attracted more attention in the treatment of SCI. Although MSC therapy can reduce injured volume and promote axonal regeneration, its application is limited by tumorigenicity, a low survival rate, and immune rejection. Accumulating literature shows that exosomes have great potential in the treatment of SCI. In this review, we summarize the existing MSC-derived exosome studies on SCI and discuss the advantages and challenges of treating SCI based on exosomes derived from MSCs.