Exosome, a subpopulation of extracellular vesicles, plays diverse roles in various biological processes. As one of the most abundant components of exosomes, exosomal proteins have been revealed to participate in the development of many diseases, such as carcinoma, sarcoma, melanoma, neurological disorders, immune responses, cardiovascular diseases, and infection. Thus, understanding the functions and mechanisms of exosomal proteins potentially assists clinical diagnosis and targeted delivery of therapies. However, current knowledge about the function and application of exosomal proteins is still limited. In this review, we summarize the classification of exosomal proteins, and the roles of exosomal proteins in exosome biogenesis and disease development, as well as in the clinical applications.