Exosomes are vesicles secreted by a variety of cell types. They can release their cargo into the extracellular environment or transfer their contents to other cells, as a form of intercellular communication. Therefore, exosomes are vital to both physiological and pathological functions. Autophagy is a process of intracellular degradation of unnecessary or dysfunctional cellular components such as damaged organelles and misfolded proteins. It is initiated by various environmental stressors and mediated by lysosomes. Under physiological conditions, autophagy exists in cells at basal levels to support cellular metabolism and help maintain self-homeostasis. In other circumstances, autophagy can contribute to the initiation and progression of disease. Recent studies have revealed that exosomal and autophagic pathways can be regulated by each other and play important roles in health and disease. However, the cross-regulation between these pathways is highly intricate, and the effects on exosomal trafficking and autophagy are environment-dependent. Here, we summarize the recent advances in understanding the cross-regulation between the exosomal and autophagic pathways, and their involvement in multiple diseases, which can help develop novel strategies for their prevention and treatment. From the evidence summarized in this review, we conclude: 1) exosomal trafficking plays a beneficial or harmful role in disease through the regulation of autophagy; 2) autophagy is vital in disease by regulating the generation of exosomes; and 3) the cross-regulation between exosomal and autophagic pathways may be promising targets for disease prevention and treatment, while this needs to be clarified in future investigations.