Lung transplant recipients (LTxRs) with acute or chronic rejection release circulating exosomes that mostly originate from donor lung tissue and express mismatched human leucocyte antigens (HLA) and lung-associated self-antigens (SAgs), Collagen-V and K alpha 1 Tubulin. During lung transplant (LTx), donor lungs often undergo injuries that increase the antigenicity of the transplanted organ. 30% of LTxRs also have pre-transplant antibodies (Abs) to HLA and lung SAgs, which may induce conditions that increase the risk of chronic lung allograft dysfunction (CLAD). Post-transplant, some recipients experience de novo development of Abs to mismatched donor HLA (donor-specific antibody [DSA]) and Abs to lung SAgs, which have been implicated in CLAD pathogenesis. Because most LTxRs who develop DSA also develop Abs to SAgs, some have suggested a synergistic relationship between alloimmunity and autoimmunity in CLAD immunopathogenesis. These processes likely occur from stress-induced exosome release. Exosomes carry allo-antigens, lung SAgs, several micro RNAs, proteasome, co-stimulatory molecules, and pro-inflammatory transcription factors—resulting in efficient antigen presentation by direct, semidirect, and indirect pathways, leading to immune responses to both allo-antigens and lung-associated SAgs. This review summarizes recent findings on the role of exosomes, and processes triggering immune responses to allo-antigens and lung SAgs that ultimately culminate in CLAD.