Oxidative burden plays a central role in Alzheimer’s disease (AD) pathology, fostering protein aggregation, inflammation, mitochondrial impairment, and cellular dysfunction that collectively lead to neuronal injury. The role of exosomes in propagating the pathology of neurodegenerative diseases including AD is now well established. However, recent studies have also shown that exosomes are crucial responders to oxidative stress in different tissues. Thus, this offers new insights and mechanistic links within the complex pathogenesis of AD through the involvement of oxidative stress and exosomes. Several studies have indicated that exosomes, acting as intracellular communicators, disseminate oxidatively modified contents from one cell to another, propagating the pathology of AD. Another emerging aspect is the exosome-mediated inhibition of ferroptosis in multiple tissues under different conditions which may have a role in neurodegenerative diseases as well. Apart from their involvement in the pathogenesis of AD, exosomes enter the bloodstream serving as novel noninvasive biomarkers for AD; some of the exosome contents also reflect the cerebral oxidative stress in this disease condition. This review highlights the intricate interplay between oxidative stress and exosome dynamics and underscores the potential of exosomes as a novel tool in AD diagnosis.