Despite a large number of studies, the etiology of pregnancy complications remains unknown. The involvement of cell-free DNA or fetal cell-free DNA in the pathogenesis of pregnancy complications is currently being hypothesized. Cell-free DNA occurs in different forms—free; part of neutrophil extracellular traps; or as recently discovered, carried by extracellular vesicles. Cell free DNA is believed to activate an inflammatory pathway, which could possibly cause pregnancy complications. It could be hypothesized that DNA in its free form could be easily degraded by nucleases to prevent the inflammatory activation. However, recently, there has been a growing interest in the role of exosomes, potential protectors of cell-free DNA, in pregnancy complications. Most of the interest from recent years is directed towards the micro RNA carried by exosomes. However, exosome-associated DNA in relation to pregnancy complications has not been truly studied yet. DNA, as an important cargo of exosomes, has been so far studied mostly in cancer research. This review collects all the known information on the topic of not only exosome-associated DNA but also some information on vesicles-associated DNA and the studies regarding the role of exosomes in pregnancy complications from recent years. It also suggests possible analysis of exosome-associated DNA in pregnancy from plasma and emphasizes the importance of such analysis for future investigations of pregnancy complications. A major obstacle to the advancement in this field is the proper uniformed technique for exosomes isolation. Similarly, the sensitivity of methods analyzing a small fraction of DNA, potentially fetal DNA, carried by exosomes is variable.