Exosomes (EXs) are important vesicles for intercellular signaling and play an important role in organismal homeostasis. Exosomal microRNAs (miRNAs) are one of the key components of EXs to protect against myocardial infarction (MI), which is one of the major killers threatening human health, characterized by high morbidity, high disability and high mortality. Ischemia/reperfusion is the main treatment for MI. The myocardial ischemic condition caused by MI changes the components of exosomes, in the meanwhile, exercise stimulates the secretion of exosomes, exerts their biological and cardioprotective effects, inhibits the pathological progression of MI. In this review, by summarizing the role of exosomal miRNAs in MI, we propose the possible mechanism by which exercise improves cardiac function in MI, aiming to provide new ideas and targets for experimental research and clinical treatment involving exercise intervention in control of coronary heart disease.