Exelby was chosen by the Montreal Canadiens in the 1986 NHL Supplemental Draft. He turned pro with the Sherbrooke Canadiens of the American Hockey League (AHL) in 1987 after a four year career with Lake Superior State College. In 1988-89 in the AHL, he shared the Harry "Hap" Holmes Memorial Award for the lowest goals against average, won the Aldege "Baz" Bastien Memorial Award as the top goaltender, and finished on the first all-star team. He also played his first NHL game.