If you have water coming out of your exhaust pipe on your vehicle when it's cold outside then it's not a bad thing.
The water that comes out of a hot exhaust during cold weather is natural condensation and is not harmful to the engine or vehicle.
If you have water coming out of your exhaust and it's not cold out then it could be a bad head gasket that is leaking coolant into the exhaust system.
If you have coolant or water in your exhaust due to a bad head gasket then you likely have coolant or water in your oil as well.
But if you oil has no coolant or water in it then the water in exhaust is most likely just condensation.
It's even normal for some condensation to get into the engine oil and then it will be burned off as the engine gets up to a hot operating temperature.
Driving short distances and not getting the engine up to a hot enough temperature can cause condensation in the oil.
Taking your vehicle on a long drive to increase the engine temperature will evaporate the condensation.