Sepsis, a severe systemic inflammatory response to infection, remains a leading cause of morbidity and mortality worldwide. Exosomes, as mediators of intercellular communication, play a pivotal role in the pathogenesis of sepsis through modulating immune responses, metabolic reprogramming, coagulopathy, and organ dysfunction. This review highlights the emerging significance of exosomes in these processes. Initially, it provides an in-depth insight into exosome biogenesis and characterization, laying the groundwork for understanding their diverse and intricate functions. Subsequently, it explores the regulatory roles of exosomes in various immune cells such as neutrophils, macrophages, dendritic cells, T cells, and B cells. This analysis elucidates how exosomes are pivotal in modulating immune responses, thus contributing to the complexity of sepsis pathophysiology. Additionally, this review delves into the role of exosomes in the regulation of metabolism and subsequent organ dysfunction in sepsis. It also establishes a connection between exosomes and the coagulation cascade, which affects endothelial integrity and promotes thrombogenesis in sepsis. Moreover, the review discusses the dual role of exosomes in the progression and resolution of sepsis, exploring their complex involvement in inflammation and healing processes. Furthermore, it underscores their potential as biomarkers and therapeutic targets. Understanding these mechanisms presents new opportunities for novel interventions to mitigate the severe outcomes of sepsis, emphasizing the therapeutic promise of exosome research in critical care settings.