Extracellular vesicles (EVs) are particles released by multiple cells, encapsulated by lipid bilayers and containing a variety of biological materials, including proteins, nucleic acids, lipids and metabolites. With the advancement of separation and characterization methods, EV subtypes and their complex and diverse functions have been recognized. In the central nervous system (CNS), EVs are involved in various physiological and pathological processes, such as regulation of neuronal firing, synaptic plasticity, formation and maintenance of myelin sheath, propagation of neuroinflammation, neuroprotection, and spread and removal of toxic protein aggregates. Activity-dependent alteration of constituents enables EVs to reflect the change of cell and tissue states, and the wide distribution of EVs in biological fluids endows them with potential as diagnostic and prognostic biomarkers for CNS diseases, including neurodegenerative disease, cerebrovascular disease, traumatic brain disease, and brain tumor. Favorable biocompatibility, ability of crossing the blood-brain barrier and protecting contents from degradation, give promising therapeutic effects of EVs, either collected from mesenchymal stem cells culture conditioned media, or designed as drug delivery vehicles loaded with specific agents. In this review, we summarized EVs' basic biological properties, and mainly focused on their applications in CNS diseases.