Physical activity has systemic effects on the body, affecting almost every organ. It is important not only for general health and wellbeing, but also in the prevention of diseases. The mechanisms behind the therapeutic effects of physical activity are not completely understood; however, studies indicate these benefits are not confined to simply managing energy balance and body weight. They also include systemic factors which are released into the circulation during exercise and which appear to underlie the myriad of benefits exercise can elicit. It was shown that along with a number of classical cytokines, active tissues also engage in inter-tissue communication via extracellular vesicles (EVs), specifically exosomes and other small EVs, which are able to deliver biomolecules to cells and alter their metabolism. Thus, EVs may play a role in the acute and systemic adaptations that take place during and after physical activity, and may be therapeutically useful in the treatment of a range of diseases, including metabolic disorders such as type 2 diabetes and obesity; and the focus of this review, neurological disorders such as Alzheimer’s disease.