Exosomes have been proven to play a positive role in tendon and tendon–bone healing. Here, we systematically review the literature to evaluate the efficacy of exosomes in tendon and tendon–bone healing. Following the Preferred Reporting Items for Systematic Reviews and Meta-Analyses guidelines, a systematic and comprehensive review of the literature was performed on 21 January 2023. The electronic databases searched included Medline (through PubMed), Web of Science, Embase, Scopus, Cochrane Library and Ovid. In the end, a total of 1794 articles were systematically reviewed. Furthermore, a “snowball” search was also carried out. Finally, forty-six studies were included for analysis, with the total sample size being 1481 rats, 416 mice, 330 rabbits, 48 dogs, and 12 sheep. In these studies, exosomes promoted tendon and tendon–bone healing and displayed improved histological, biomechanical and morphological outcomes. Some studies also suggested the mechanism of exosomes in promoting tendon and tendon–bone healing, mainly through the following aspects: (1) suppressing inflammatory response and regulating macrophage polarization; (2) regulating gene expression, reshaping cell microenvironment and reconstructing extracellular matrix; (3) promoting angiogenesis. The risk of bias in the included studies was low on the whole. This systematic review provides evidence of the positive effect of exosomes on tendon and tendon–bone healing in preclinical studies. The unclear-to-low risk of bias highlights the significance of standardization of outcome reporting. It should be noted that the most suitable source, isolation methods, concentration and administration frequency of exosomes are still unknown. Additionally, few studies have used large animals as subjects. Further studies may be required on comparing the safety and efficacy of different treatment parameters in large animal models, which would be conducive to the design of clinical trials.