Provided are exosomes sourced from a granulocyte myeloid-derived suppressor cell and an application thereof. The exosomes are named as G-MDSC exo. Also provided is a use of the exosomes in preparing a drug used for suppressing autoimmune diseases. The G-MDSC exo can effectively suppress proliferation of CD4+T cells in vitro, promote induced proliferation of T regulatory (Treg) cells, alleviate foot swelling of model mice having delayed-type hypersensitivity, and suppress attacks of inflammatory bowel disease (IBD) and collagen-induced arthritis (CIA) of the mice.