Brain drug delivery is one of the most important bottlenecks in the development of drugs for the central nervous system. Cumulative evidence has emerged that extracellular vesicles (EVs) play a key role in intercellular communication. Exosomes, a subgroup of EVs, have received the most attention due to their capability in mediating the horizontal transfer of their bioactive inclusions to neighboring and distant cells, and thus specifically regulating the physiological and pathological functions of the recipient cells. This native and unique signaling mechanism confers exosomes with great potential to be developed into an effective, precise, and safe drug delivery system. Here, we provide an overview into the challenges of brain drug delivery and the function of exosomes in the brain under physiological and pathological conditions, and discuss how these natural vesicles could be harnessed for brain drug delivery and for the therapy of brain diseases.