The widespread use of therapeutic glucocorticoids has increased the incidences of glucocorticoid‐induced osteoporosis (GIOP). Oxidative stress and mitochondrial dysfunction are major causes of GIOP; therefore, alleviation of excess oxidative stress in osteoblasts is a potential therapeutic strategy for osteoporosis. Exosomes derived from ADSCs (ADSCs‐Exos), as novel cell‐free therapeutics, can modulate various biological processes, such as immunomodulation, reduce oxidative damage, and promote tissue repair as well as regeneration. In this study, ADSCs‐Exos restored the viability and osteogenic potential of MC3T3‐E1 cells by attenuating apoptosis, oxidative damage, intracellular ROS generation, and mitochondrial dysfunction. Moreover, after pretreatment with ADSCs‐Exos, Nrf2 expressions were upregulated in Dex‐stimulated osteoblasts. Inhibitory assays showed that silencing Nrf2 partially eliminated the protective effects of ADSCs‐Exos. The rat model assays confirmed that ADSCs‐Exos alleviated the Dex‐induced increase in oxidation levels, restored bone mass of the distal femur, and increased the expressions of Nrf2 and osteogenic markers in bone tissues. Thus, ADSCs‐Exos alleviated apoptosis and oxidative stress by regulating Nrf2/HO‐1 expressions after Dex and prevented the development of GIOP in vivo.