Utilizing electricity and heat from renewable energy to convert small molecules into value‐added chemicals through electro/thermal catalytic processes has enormous socioeconomic and environmental benefits. However, the lack of catalysts with high activity, good long‐term stability, and low cost strongly inhibits the practical implementation of these processes. Oxides with exsolved metal nanoparticles have recently been emerging as promising catalysts with outstanding activity and stability for the conversion of small molecules, which provides new possibilities for application of the processes. In this review, it starts with an introduction on the mechanism of exsolution, discussing representative exsolution materials, the impacts of intrinsic material properties and external environmental conditions on the exsolution behavior, and the driving forces for exsolution. The performances of exsolution materials in various reactions, such as alkane reforming reaction, carbon monoxide oxidation, carbon dioxide utilization, high temperature steam electrolysis, and low temperature electrocatalysis, are then summarized. Finally, the challenges and future perspectives for the development of exsolution materials as high‐performance catalysts are discussed.