Extracellular vesicles (EVs) represent a new reality for many physiological and pathological functions as an alternative mode of intercellular communication. This is due to their capacity to interact with distant recipient cells, usually involving delivery of the EVs contents into the target cells. Intensive investigation has targeted the role of EVs in different pathological conditions, including multiple sclerosis (MS). MS is a chronic inflammatory and neurodegenerative disease of the nervous system, one of the main causes of neurological disability in young adults. The fine interplay between the immune and nervous systems is profoundly altered in this disease, and EVs seems to have a relevant impact on MS pathogenesis. Here, we provide an overview of both clinical and preclinical studies showing that EVs released from blood–brain barrier (BBB) endothelial cells, platelets, leukocytes, myeloid cells, astrocytes, and oligodendrocytes are involved in the pathogenesis of MS and of its rodent model experimental autoimmune encephalomyelitis (EAE). Most of the information points to an impact of EVs on BBB damage, on spreading pro-inflammatory signals, and altering neuronal functions, but EVs reparative function of brain damage deserves attention. Finally, we will describe recent advances about EVs as potential therapeutic targets and tools for therapeutic intervention in MS.