The burden of lung diseases is gradually increasing with an increase in the average human life expectancy. Therefore, it is necessary to identify effective methods to treat lung diseases and reduce their social burden. Currently, an increasing number of studies focus on the role of mesenchymal stem cell-derived exosomes (MSC-Exos) as a cell-free therapy in lung diseases. They show great potential for application to lung diseases as a more stable and safer option than traditional cell therapies. MSC-Exos are rich in various substances, including proteins, nucleic acids, and DNA. Delivery of Non-coding RNAs (ncRNAs) enables MSC-Exos to communicate with target cells. MSC-Exos significantly inhibit inflammatory factors, reduce oxidative stress, promote normal lung cell proliferation, and reduce apoptosis by delivering ncRNAs. Moreover, MSC-Exos carrying specific ncRNAs affect the proliferation, invasion, and migration of lung cancer cells, thereby playing a role in managing lung cancer. The detailed mechanisms of MSC-Exos in the clinical treatment of lung disease were explored by developing standardized culture, isolation, purification, and administration strategies. In summary, MSC-Exo-based delivery methods have important application prospects for treating lung diseases.