Exosomes, which are extracellular vesicles (EVs) predominantly present in bodily fluids, participate in various physiological processes. Autophagy, an intracellular degradation mechanism, eliminates proteins and damaged organelles by forming double-membrane autophagosomes. These autophagosomes subsequently merge with lysosomes for target degradation. The interaction between autophagy and endosomal/exosomal pathways can occur at different stages, exerting significant influences on normal physiology and human diseases. The interplay between exosomes and the autophagy pathway is intricate. Exosomes exhibit a cytoprotective role by inducing intracellular autophagy, while autophagy modulates the biogenesis and degradation of exosomes. Research indicates that exosomes and autophagy contribute to the infection process of numerous enveloped viruses. Enveloped viruses, comprising viral nucleic acid, proteins, or virions, can be encapsulated within exosomes and transferred between cells via exosomal transport. Consequently, exosomes play a crucial role in the infection of certain viral diseases. This review presents recent findings on the interplay between exosomes and autophagy, as well as their implications in the infection of enveloped viruses, thereby offering valuable insights into the pathogenesis and vaccine research of enveloped virus infection.