Neuroinflammation is a key factor in the development of preterm white matter injury (PWMI), leading to glial cell dysfunction, arrest of oligodendrocyte maturation, and long-term neurological damage. As a potential therapeutic strategy, mesenchymal stem cells (MSCs) exhibit significant immunomodulatory and regenerative potential. Recent studies suggest that the primary mechanism of MSC action is their paracrine effects, particularly mediated by extracellular vesicles, with MSC-derived exosomes (MSC-Exos) being the key mediators. MSC-Exos, enriched with lipids, proteins, and nucleic acids, regulate neuroinflammation by modulating glial cell activity and influencing signaling pathways associated with inflammation and repair. Preclinical evidence has indicated that MSC-Exos can suppress the activation of microglia and astrocytes, promote oligodendrocyte maturation, and enhance myelination, highlighting their potential as a cell-free treatment for PWMI. However, there are a paucity of comprehensive reviews on how MSC-Exos regulate neuroinflammation in PWMI through specific signaling pathways. This review aims to summarize the key signaling pathways through which MSC-Exos modulate neuroinflammation in PWMI and discuss the challenges associated with the clinical application of MSC-Exos-based therapies.