Recent advances on milk exosomes (EXO), cargoes in cell−cell communication, explored their role within and between individuals, including in dairy species. The potential use of EXO as biomarkers of disease and metabolic conditions adds significant interest to the study of EXO in milk. Although several researches have been carried out on circulating miRNA in the milk, less information is available about milk-derived exosomal miRNAs, which are stable over time and resistant to digestion and milk processing. EXO are taken up by recipient cells through specific mechanisms, which enable the selective delivery of cargoes. This suggests that EXO cargoes can be used as biomarkers of health. Nevertheless, methodological limitations and potential applications of milk EXO in dairy ruminants must be considered. The paucity of studies that associate the EXO cargo to specific challenges deserves further investigations to unravel the variation of miRNA and proteins cargo in relation to metabolic imbalance and infectious disease of the mammary gland.