Exosomes are small extracellular vesicles which stem from endosomes fusing with the plasma membrane; they contain lipids, proteins and RNAs that are able to modify receiving cells. Functioning of the brain relies on synapses, and certain patterns of synaptic activity can change the strength of responses at sparse groups of synapses, to modulate circuits underlying associations and memory. These local changes of the synaptic physiology in one neuron driven by another have, so far, been explained by classical signal transduction modulating transcription, translation and post-translational modifications. We have accumulated in vitro evidence that exosomes released by neurons in a way depending on synaptic activity can be recaptured by other neurons. Some lipids, proteins and RNAs contained in exosomes secreted by emitting neurons could directly modify signal transduction and protein expression in receiving cells. Exosomes may be an ideal mechanism for anterograde and retrograde information transfer across synapses underlying local changes in synaptic plasticity. Exosomes might also participate in the spreading across the nervous system of pathological proteins such as PrPSc (abnormal disease-specific conformation of prion protein), APP (amyloid precursor protein) fragments, phosphorylated tau or α-synuclein.