If I steal Vanguard or a Gear with Akshan and it was exhausted on the enemy side, does it come over ready or exhausted?

When you steal an enemy gear using Akshan, Mischievous, it retains its current state (ready or exhausted).

According to RiftJudge FAQ #9510: "When an enemy gear is moved to your base by Akshan, Mischievous, it retains its current state (ready or exhausted)."

Control-change effects change which player controls the object, but they do not change the state of the object itself. If the gear was exhausted when it was moved to your base, it remains exhausted under your control.