Systemic autoimmune diseases (SADs) encompass a spectrum of organ involvement, clinical heterogeneity, and therapeutic challenges meriting significant research. These conditions involve the immune system mistakenly attacking and damaging multiple body tissues and organs, leading to chronic inflammation and damage. Exosomes are nanoscale extracellular vesicles secreted by cells that modulate intercellular communication and immunity. Accumulating evidence indicates that exosomes have multifaceted roles in the pathogenesis of SADs through processes like cellular signaling, immune modulation, antigen presentation, and inflammatory response. The cargo of exosomes, such as proteins, miRNAs, and lipids, are vital determinants of cellular and humoral immunity. This review examines key signaling pathways in four common SADs, rheumatoid arthritis, systemic lupus erythematosus, systemic sclerosis, and Sjögren's syndrome, and explores exosome as non-invasive biomarkers for diagnosis, disease monitoring, and therapeutic response prediction. Additionally, the therapeutic potential of mesenchymal stromal cells (MSCs) or various type of mesenchymal stem cells derived exosomes as cell-free immunotherapies for SADs is highlighted. Engineered exosomes, with enhanced targeting, bioavailability, low toxicity, are emerging as promising drug delivery vehicles. However, challenges such as high production costs, technical complexity, and inefficiency, along with the lack of standardized protocols, limit clinical implementation in SADs. A deeper understanding of exosome roles in SADs pathogenesis and innovative immunotherapies may provide valuable theoretical support for the diagnosis and treatment of these challenging conditions.