Natural killer (NK) cells are innate lymphoid cells that play a major role in the immune surveillance against tumors and their activity is regulated through signals derived by a number of NK cell inhibitory and activating receptors as well as cytokines and other soluble factors released in the tumor microenvironment. Extracellular vesicles (EVs) are membrane-enclosed particles secreted by all cell types, both in healthy and diseased conditions, and are important mediators of intercellular communication. Depending on the molecular cargo, tumor-derived extracellular vesicles have the capability to either promote or suppress NK cell-mediated functions. Anti-cancer therapies designed to sustain host anti-tumor immune response represent an appealing strategy to control tumor growth avoiding tumor immune escape. The ability of anticancer chemotherapy to enhance the immunogenic potential of malignant cells mainly relies on the establishment of the immunogenic cell death (ICD) and the release of damage-associated molecular patterns (DAMPs). Moreover, the activation of the DNA damage response (DDR) and the induction of senescence represent two crucial modalities aimed at promoting the clearance of drug-treated tumor cells by NK cells. Herein, we will address the main mechanisms used by cancer-derived extracellular vesicles to modulate NK cell activity, and we will discuss how anti-cancer therapies might impact on the secretion and the immunomodulatory function of these vesicles.