Depression disorder, as one of the main factors causing disability worldwide, has long been confronted with key challenges in clinical treatment, such as low response rates to therapeutic drugs and significant side effects. Against this backdrop, repetitive transcranial magnetic stimulation (rTMS), as a non-invasive treatment technique, has demonstrated unique advantages in the treatment of depression. At its core, rTMS utilizes electromagnetic pulses to regulate the activity of neurons in the cerebral cortex, avoiding the systemic effects brought by drug metabolism. Although existing research has systematically evaluated treatment regimens with different stimulation parameters, current clinical applications still face predicaments such as insufficient mechanism explanation and unclear molecular pathways underlying neural plasticity changes. Exosomes, as a crucial messenger for intercellular information transmission, have seen a highly significant association between the specific miRNA spectra that they carry and the synaptic remodeling process confirmed by multiple studies in recent years. This natural information transmission system may help explain the sustained neuroplastic changes induced by rTMS. This article reviews clinical advances in rTMS for depression treatment and the role of exosomes in the disease, and further explores the potential mechanism of their interaction, with the aim of providing a new perspective for the treatment of depression.