The treatment of unhealable and chronic cutaneous wounds is a significant challenge for the healthcare system. Hence, there has been heightened interest in the development of innovative therapeutic approaches for the acceleration of wound healing. Regenerative medicine based on mesenchymal stem cells (MSCs) has shown appropriate potential in skin repair. The regenerative properties of stem cells are mainly attributed to paracrine effects of secreted products, including exosomes. There are advantages to using exosomes as a cell-free approach instead of direct application of stem cells. Exosomes have the nanoscale dimension and are immune-tolerant. They can easily endocytose, and transfer the cargo content to recipient cells. They contribute to the regulation of the wound healing process by activating specific signaling pathways. To preserve exosome bioactivity and controlled release of effective concentration during prolonged wound care, the design of an optimized delivery system is necessary. Accordingly, hydrogels with their unique properties are promising candidates as exosome delivery and wound management products. This article investigates the characteristics of exosomes, their molecular mechanism in wound healing, and the advantages of the hydrogel delivery system. Also, published reports on the potential of exosome-loaded hydrogels in skin regeneration have been reviewed.