Vascular calcification (VC) has been proved the main pathophysiology basis that results in the cardiovascular disease which become the leading cause of death in patients with chronic kidney disease. The disordered mineral metabolism, hyperphosphatemia, overuse of calcium binders, occurred in the setting of uremia, have become the critical risk factors of vascular calcification in chronic kidney disease, in which the vascular smooth muscle cells undergo differentiation to osteoblast-like cells. The mechanisms involved in vascular calcification are complicated and exosomes, as novel players, are proven to play a vital role in VC and function as initializers for mineral deposition. Exosomal miRNAs play an important role in the regulation of cellular functions in vascular calcification. In this review, we focused on the roles of exosomes during VC, especially on their effects on regulating vascular calcification through initializing mineral deposition as a nidus, transporting microRNAs to the recipient cells and mediating the vascular smooth muscle cells differentiation to osteoblast-like cells.