Extracellular vesicles (EVs), including exosomes, ectosomes, and apoptotic bodies, are released by various cells. Among these subtypes, exosomes have been extensively studied and demonstrated to be crucial mediators of intercellular communication involving multiple physiological and pathological processes. Four primary steps influence the biogenesis of exosomes: generation of early endosomes, formation and maturation of multivesicular bodies (MVBs), MVB and plasma membrane fusion for exosome release, and MVB fusion with lysosomes for degradation. During the formation and maturation of MVBs, the main effector molecules, such as RNAs and proteins, are sorted into exosomes via diverse mechanisms. However, the effector molecules of exosomes are dynamic and reflect cell states in real time. Therefore, exosomes secreted by cells under disease conditions are often pathogenic. This review focuses on recent advances in the understanding of exosome biogenesis and the immunopathological effects of exosomes. In addition, potential strategies to mitigate the pathological effects of exosomes are summarized in this review.