The exponential mechanism is a fundamental tool of Differential Privacy (DP) due to its strong privacy guarantees and flexibility. We study its extension to settings with summaries based on infinite dimensional outputs such as with functional data analysis, shape analysis, and nonparametric statistics. We show that the mechanism must be designed with respect to a specific base measure over the output space, such as a Gaussian process. We provide a positive result that establishes a Central Limit Theorem for the exponential mechanism quite broadly. We also provide a negative result, showing that the magnitude of noise introduced for privacy is asymptotically non-negligible relative to the statistical estimation error. We develop an e-DP mechanism for functional principal component analysis, applicable in separable Hilbert spaces, and demonstrate its performance via simulations and applications to two datasets.