Autoimmune diseases (ADs) are a class of chronic disease conditions with impaired tolerance to autoantigens. Currently, there is no effective treatment for ADs, and the existing medications have limitations due to non-specific targets and side effects. Accumulating evidence has shown that mesenchymal stem cells (MSCs) play a role in ADs treatment. These beneficial effects mainly rely on cell-to-cell communication through the secretion of extracellular vesicles (EVs) and soluble factors. MSC-derived EVs (MSC-EVs) could modulate adjacent and distinct cells by transferring various DNA, mRNA, non-coding RNAs, proteins, and lipids from parent cells to recipient cells. MicroRNAs (miRNAs) are small non-coding RNAs that negatively regulate multiple target genes at the post-transcriptional level and are involved in chronic inflammatory and immune processes. Compared to fluid, MSC-EVs delivery can protect miRNAs from the degradation of ribonucleases, ensuring that miRNAs are able to perform their respective crucial roles in AD recipient cells. In this review, we discussed the therapeutic prospects and challenges of miRNAs secreted by MSC-EVs (MSC-EV-miRNAs) by reviewing the experimentally verified therapeutic outcomes of MSC-EV-miRNAs for several ADs, including rheumatoid arthritis (RA), autoimmune hepatitis (AIH), asthma, colitis, systemic sclerosis (SSc) and graft-versus-host disease (GVHD).