Extracellular vesicles (EVs) are biological nanoparticles of great interest as novel sources of biomarkers and as drug delivery systems for personalized therapies. The research in the field and clinical applications require rapid quantification. In this study, we have developed a novel lateral flow immunoassay (LFIA) system based on Fe3O4 nanozymes for extracellular vesicle (EV) detection. Iron oxide superparamagnetic nanoparticles (Fe3O4 MNPs) have been reported as peroxidase-like mimetic systems and competent colorimetric labels. The peroxidase-like capabilities of MNPs coated with fatty acids of different chain lengths (oleic acid, myristic acid, and lauric acid) were evaluated in solution with H2O2 and 3,3,5,5-tetramethylbenzidine (TMB) as well as on strips by biotin–neutravidin affinity assay. As a result, MNPs coated with oleic acid were applied as colorimetric labels and applied to detect plasma-derived EVs in LFIAs via their nanozyme effects. The visual signals of test lines were significantly enhanced, and the limit of detection (LOD) was reduced from 5.73 × 107 EVs/μL to 2.49 × 107 EVs/μL. Our work demonstrated the potential of these MNPs as reporter labels and as nanozyme probes for the development of a simple tool to detect EVs, which have proven to be useful biomarkers in a wide variety of diseases.