The arthropod-borne flaviviruses are important human pathogens, and a deeper understanding of the virus–host cell interaction is required to identify cellular targets that can be used as therapeutic candidates. It is well reported that the flaviviruses hijack several cellular functions, such as exosome-mediated cell communication during infection, which is modulated by the delivery of the exosomal cargo of pro- or antiviral molecules to the receiving host cells. Therefore, to study the role of exosomes during flavivirus infections is essential, not only to understand its relevance in virus–host interaction, but also to identify molecular factors that may contribute to the development of new strategies to block these viral infections. This review explores the implications of exosomes in flavivirus dissemination and transmission from the vector to human host cells, as well as their involvement in the host immune response. The hypothesis about exosomes as a transplacental infection route of ZIKV and the paradox effect or the dual role of exosomes released during flavivirus infection are also discussed here. Although several studies have been performed in order to identify and characterize cellular and viral molecules released in exosomes, it is not clear how all of these components participate in viral pathogenesis. Further studies will determine the balance between protective and harmful exosomes secreted by flavivirus infected cells, the characteristics and components that distinguish them both, and how they could be a factor that determines the infection outcome.