Exosomes are nano-extracellular vesicles with diameters ranging from 30 to 150 nm, which are secreted by the cell. With their role in drug cargo loading, exosomes have been applied to carry compounds across the blood–brain barrier in order to target the central nervous system (CNS). In this study, high-purity exosomes isolated by the ultra-high-speed separation method were applied as the natural compound carrier, with the loading efficiency confirmed by UHPLC-MS analysis. Through the optimization of various cargo loading methods using exosomes, this study compared the efficiency of different ways for the separation of exosomes and the exosome encapsulation of natural compounds with increasing molecular weights via extensive in vitro and in vivo efficacy studies. In a pharmacokinetic study, our data suggested that the efficiency of compound’s loading into exosomes is positively correlated to its molecular weight. However, with a molecular weight of greater than 1109 Da, the exosome-encapsulated natural compounds were not able to pass through the blood–brain barrier (BBB). In vitro cellular models confirmed that three of the selected exosome-encapsulated natural compounds—baicalin, hederagenin and neferine—could reduce the level of neurodegenerative disease mutant proteins—including huntingtin 74 (HTT74), P301L tau and A53T α-synuclein (A53T α-syn)—more effectively than the compounds alone. With the traditional pharmacological role of the herbal plant Nelumbo nucifera in mitigating anxiety, exosome-encapsulated-neferine was, for the first time, reported to improve the motor deficits of APP/PS1 (amyloid precursor protein/ presenilin1) double transgenic mice, and to reduce the level of β-amyloid (Aβ) in the brain when compared with the same concentration of neferine alone. With the current trend in advocating medicine–food homology and green healthcare, this study has provided a rationale from in vitro to in vivo for the encapsulation of natural compounds using exosomes for the targeting of BBB permeability and neurodegenerative diseases in the future.