Exosomes are important carriers of biological information that facilitate intercellular communication and participate in the pathophysiology of different cardiovascular diseases. Myocardial infarction is among the leading causes of death worldwide. Upon myocardial infarction, massive cardiomyocyte death triggers a strong inflammatory response which is a vital process of cardiac injury, repair, and remodeling. Increasing evidence has unveiled that exosomes are involved in the inflammatory response and immune regulation after myocardial infarction. In this review, we will summarize the biological function of exosomes in the pathophysiology of myocardial infarction, especially focusing on their roles in the modulation of inflammation and immune response after myocardial infarction which further influences myocardial repair and remodeling. We will also discuss the immunomodulation by exosomes derived from stem and progenitor cells in the treatment of myocardial infarction. A deep understanding of immunomodulation by exosomes may represent a promising therapeutic option for the treatment of myocardial infarction.