Central nervous system (CNS) diseases threaten the health of people all over the world. However, due to the structural and functional particularities of the brain and spinal cord, CNS-targeted drug development is rather challenging. Exosomes are small cellular vesicles with lipid bilayers that can be secreted by almost all cells and play important roles in intercellular communication. The advantages of low immunogenicity, the ability to cross the blood-brain barrier, and the flexibility of drug encapsulation make them stand out among CNS drug delivery tools. Herein, we reviewed the research on exosomes in CNS drug delivery over the past decade and outlined the impact of the drug loading mode, administration route, and engineered modification on CNS targeting. Finally, we highlighted the problems and prospects of exosomes as CNS drug delivery tools.