Exosomes, nanovesicles shown to regulate physiological processes in vivo, have been implicated in pathological conditions including cancer, autoimmune disease, infectious disease, neurodegenerative disease, and allograft rejection. Studies of lung transplant recipients with primary graft dysfunction, respiratory viral infection, and (acute) rejection have demonstrated circulating exosomes containing donor-mismatched human leukocyte antigen and lung-associated self-antigens, K-alpha 1 tubulin and collagen V, indicating that exosomes are originating from the transplanted organ. These circulating exosomes likely play a role in activating immune responses that lead to increased risk of chronic lung allograft dysfunction, as exosomes efficiently present their antigens to the immune system by all known pathways of antigen recognition (i.e., direct, indirect, and semidirect pathways). Here, we discuss exosome biogenesis, describe their contents, and address the mechanism of exosome-mediated activation of immune responses that lead to allograft rejection, especially after lung transplantation.