Central nervous system (CNS) diseases are one of the diseases that threaten human health. The delivery of drugs targeting the CNS has always been a significant challenge; the blood-brain barrier (BBB) is the main obstacle that must be overcome. The rise of bone marrow mesenchymal stem cell (BMSC) therapy has brought hope for the treatment of CNS diseases. However, the problems of low homing rate, susceptibility differentiation into astrocytes, immune rejection, and formation of iatrogenic tumors of transplanted BMSCs limit their clinical application. Bone marrow mesenchymal stem cell-derived exosomes (BMSC-Exos) have become a hot research topic in the treatment of CNS diseases in recent years because of their excellent histocompatibility, low immunogenicity, ease of crossing the BBB, and their ability to serve as natural carriers for treatment. This article reviews the mechanisms of BMSC-Exos in CNS diseases and provides direction for further research.