Extracellular vesicles (EVs) are a heterogenous group of membrane-bound particles that play a pivotal role in cell–cell communication, not only participating in many physiological processes, but also contributing to the pathogenesis of several diseases. The term EVs defines many and different vesicles based on their biogenesis and release pathway, including exosomes, microvesicles (MVs), and apoptotic bodies. However, their classification, biological function as well as protocols for isolation and detection are still under investigation. Recent evidences suggest the existence of novel subpopulations of EVs, increasing the degree of heterogeneity between EV types and subtypes. EVs have been shown to have roles in the CNS as biomarkers and vehicles of drugs and other therapeutic molecules. They are known to cross the blood brain barrier, allowing CNS EVs to be detectable in peripheral fluids, and their cargo may give information on parental cells and the pathological process they are involved in. In this review, we summarize the knowledge on the function of EVs in the pathogenesis of multiple sclerosis (MS) and discuss recent evidences for their potential applications as diagnostic biomarkers and therapeutic targets.