Combinations of intense non-pharmaceutical interventions ('lockdowns') were introduced in countries worldwide to reduce SARS-CoV-2 transmission. Many governments have begun to implement lockdown exit strategies that allow restrictions to be relaxed while attempting to control the risk of a surge in cases. Mathematical modelling has played a central role in guiding interventions, but the challenge of designing optimal exit strategies in the face of ongoing transmission is unprecedented. Here, we report discussions from the Isaac Newton Institute 'Models for an exit strategy' workshop (11-15 May 2020). A diverse community of modellers who are providing evidence to governments worldwide were asked to identify the main questions that, if answered, will allow for more accurate predictions of the effects of different exit strategies. Based on these questions, we propose a roadmap to facilitate the development of reliable models to guide exit strategies. The roadmap requires a global collaborative effort from the scientific community and policy-makers, and is made up of three parts: i) improve estimation of key epidemiological parameters; ii) understand sources of heterogeneity in populations; iii) focus on requirements for data collection, particularly in Low-to-Middle-Income countries. This will provide important information for planning exit strategies that balance socio-economic benefits with public health.