Milk supports the growth and development of infants. An increasing number of mostly recent studies have demonstrated that milk contains a hitherto undescribed component called extracellular vesicles (EVs). This presents questions regarding why milk contains EVs and what their function is. Recently, we showed that EVs in human milk expose tissue factor, the protein that triggers coagulation or blood clotting, and that milk-derived EVs promote coagulation. Because bovine milk, which also contains EVs, completely lacks this coagulant activity, important differences are present in the biological functions of human milk-derived EVs between species. In this review, we will summarize the current knowledge regarding the presence and biochemical composition of milk EVs, their function(s) and potential clinical applications such as in probiotics, and the unique problems that milk EVs encounter in vivo, including survival of the gastrointestinal conditions encountered in the newborn. The main focus of this review will be human milk-derived EVs, but when available, we will also include information regarding non-human milk for comparison.