The tumor microenvironment (TME) plays an important role in the development and progression of hematological malignancies. In recent years, studies have focused on understanding how tumor cells communicate within the TME. In addition to several factors, such as growth factors, cytokines, extracellular matrix (ECM) molecules, etc., a growing body of evidence has indicated that extracellular vesicles (EVs) play a crucial role in the communication of tumor cells within the TME, thereby contributing to the pathogenesis of hematological malignancies. The present review focuses on how EVs derived from tumor cells interact with the cells in the TME, such as immune cells, stromal cells, endothelial cells, and ECM components, and vice versa, in the context of various hematological malignancies. EVs recovered from the body fluids of cancer patients often carry the bioactive molecules of the originating cells and hence can be considered new predictive biomarkers for specific types of cancer, thereby also acting as potential therapeutic targets. Here, we discuss how EVs influence hematological tumor progression via tumor–host crosstalk and their use as biomarkers for hematological malignancies, thereby benefiting the development of potential therapeutic targets.