Extracellular vesicles (EVs), including exosomes, are membranous particles released by cells into the extracellular space. They are involved in cell differentiation, tissue homeostasis, and organ remodelling in virtually all tissues, including the central nervous system (CNS). They are secreted by a range of cell types and via blood reaching other cells whose functioning they can modify because they transport and deliver active molecules, such as proteins of various types and functions, lipids, DNA, and miRNAs. Since they are relatively easy to isolate, exosomes can be characterized, and their composition elucidated and manipulated by bioengineering techniques. Consequently, exosomes appear as promising theranostics elements, applicable to accurately diagnosing pathological conditions, and assessing prognosis and response to treatment in a variety of disorders. Likewise, the characteristics and manageability of exosomes make them potential candidates for delivering selected molecules, e.g., therapeutic drugs, to specific target tissues. All these possible applications are pertinent to research in neurophysiology, as well as to the study of neurological disorders, including CNS tumors, and autoimmune and neurodegenerative diseases. In this brief review, we discuss what is known about the role and potential future applications of exosomes in the nervous system and its diseases, focusing on cell–cell communication in physiology and pathology.