Bone marrow-derived mesenchymal stem/stromal cells (BMSCs) can differentiate into bone-forming osteoblasts, playing a crucial role in bone regeneration. Exosomes are naturally cell-secreted nanovesicles and are lately regraded as an emerging mediator of cellular communication in physiological and pathological conditions. The present study aimed at investigating the complex cellular communications, especially those among the differentiating BMSCs, immune cells (e.g., macrophages), and newly recruited BMSCs via exosome-mediated pathways. Exosomes were first isolated from osteogenically differentiating BMSCs at various stages (Day 0, Day 3, Day 7, and Day 14, respectively). The cellular uptake of isolated exosomes was examined in macrophages and human BMSCs (hBMSCs). The exosomes collected at various osteogenic differentiation stages (0d-exo, 3d-exo, 7d-exo, and 14d-exo) had no effect on the viability of hBMSCs. The uptake of exosomes (0d-exo, 3d-exo, and 7d-exo) significantly decreased proinflammatory-gene expression and the level of an M1 phenotypic marker. Our results then revealed that 3d-exo, 7d-exo, and 14d-exo led to a remarkable increase in mesenchymal stem/stromal cell migration. In addition, 0d-exo significantly promoted the expression of early osteogenic markers, such as alkaline phosphatase and bone morphogenetic protein 2, indicating a pro-osteogenic role of hBMSC-derived exosomes. Collectively, these results suggest that exosomes derived from differentiating mesenchymal stem/stromal cells play a unique osteoimmunomodulatory role in the regulation of bone dynamics.