Exum, 22, suffered the injury on a drive to the basket in Friday's 112-102 preseason victory over Phoenix on Friday night.
After the game, Utah coach Quin Snyder said, "If you saw his shoulder, it didn't look good."
An MRI revealed a separated shoulder and ligament damage, and Jazz officials and doctors are conferring Saturday to discuss a plan of action on recovery and rehabilitation, league sources said.
It's Exum's second significant injury of his young NBA career. He missed his second pro season after tearing his ACL in the summer of 2015 playing for his national team in Australia. After working his way back into condition a season ago, Exum had a solid showing in the Western Conference playoffs and had been impressive for the Jazz in the summer and preseason.
Exum, a native of Australia who was selected by Utah with the fifth overall pick in the 2014 draft, averaged 6.2 points and 2.0 rebounds last season.