Accumulating studies reveal that mesenchymal stem cells (MSCs) promote skin wound healing mainly through the paracrine effects. Exosomes, one of the crucial paracrine mediators in wound healing, are cell-derived nanosized membranous vesicles containing diverse bioactive cargoes. With the potent ability of modulating skin cell behaviors, MSC-derived exosomes (MSC-Exos) are regarded as a promising nanomaterial for regenerative wound therapy. Under hostile conditions, MSC-Exos are efficient in protecting skin cells from severe damage and restoring their function. According to recent studies, MSC-Exos possess remarkable pro-healing effects in a variety of skin wounds, typically resulting in increased wound closure, inhibited scar tissue formation, and better restoration of skin function. To further enhance the therapeutic potential of MSC-Exos, the development of applicable pretreatment strategies and the optimization of exosome delivery are under intensive investigation. Herein, we summarize current research progress of MSC-Exos for skin wound treatment, with an emphasis on the biological effects of these nanovesicles, the repair mechanisms, and future challenges in clinical translation.