Exum was selected by the Utah Jazz with the fifth overall pick in the 2014 NBA draft. He made his NBA debut in the Jazz's season opener on 29 October, scoring five points in 9½ minutes off the bench in a 104–93 loss to the Houston Rockets. On 22 January, he scored a career-high 15 points on five 3-pointers in a 101–99 win over the Milwaukee Bucks. On 1 April, he had a career-high 12 assists in a 98–84 win over the Denver Nuggets. He appeared in all 82 games (41 starts) as a rookie and averaged 4. 8 points, 1. 6 rebounds and 2. 4 assists in 22. 2 minutes. Exum became only the 10th rookie in Jazz history to play in all 82 games, scoring in double figures in 13 games and leading the team in assists 11 times. He helped the Jazz to a 24–17 record as a starter and was selected to compete in the 2015 Rising Stars Challenge during the NBA's All-Star Weekend in New York.