Due to their immunomodulatory capacities, mesenchymal stem cells (MSCs) have been extensively used as therapeutic approaches in cell-based therapy for various inflammatory diseases. Several lines of studies have shown that the most beneficial effects of MSCs are associated with MSC-derived exosomes. Exosomes are nanoscale extracellular vesicles that contain important biomolecules such as RNA, microRNAs (miRNAs), DNA, growth factors, enzymes, chemokines, and cytokines that regulate immune cell functions and parenchymal cell survival. Recently, exosomes, especially MSC-derived exosomes, have been shown to have protective effects in allergic airway inflammation. This review focused on the immune-regulatory potential of MSC-derived exosomes as nanoscale delivery systems in the treatment of allergic airway inflammation.