Exosomes are potent mediators of physiological and pathological processes. In Alzheimer’s disease and inflammatory disorders, due to exosomes’ distinctive ability to cross the blood-brain barrier, a bidirectional communication between the periphery and the central nervous system exists. Since exosomes can carry various biochemical molecules, this review investigates the role of exosomes as possible mediators between chronic systemic inflammatory diseases and Alzheimer’s disease. Exosomes carry pro-inflammatory molecules generated in the periphery, travel to the central nervous system, and target glial and neuronal cells. Microglia and astrocytes then become activated, initiating chronic neuroinflammation. As the aging brain is more susceptible to such changes, this state of neuroinflammation can stimulate neuropathologies, impair amyloid-beta clearance capabilities, and generate dysregulated microRNAs that alter the expression of genes critical in Alzheimer’s disease pathology. These processes, individually and collectively, become significant risk factors for the development of Alzheimer’s disease.