A thrombus in a coronary artery causes ischemia, which eventually leads to myocardial infarction (MI) if not removed. However, removal generates reactive oxygen species (ROS), which causes ischemia–reperfusion (I/R) injury that damages the tissue and exacerbates the resulting MI. The mechanism of I/R injury is currently extensively understood. However, supplementation of exogenous antioxidants is ineffective against oxidative stress (OS). Enhancing the ability of endogenous antioxidants may be a more effective way to treat OS, and exosomes may play a role as targeted carriers. Exosomes are nanosized vesicles wrapped in biofilms which contain various complex RNAs and proteins. They are important intermediate carriers of intercellular communication and material exchange. In recent years, diagnosis and treatment with exosomes in cardiovascular diseases have gained considerable attention. Herein, we review the new findings of exosomes in the regulation of OS in coronary heart disease, discuss the possibility of exosomes as carriers for the targeted regulation of endogenous ROS generation, and compare the advantages of exosome therapy with those of stem-cell therapy. Finally, we explore several miRNAs found in exosomes against OS.