Obstructive sleep apnea (OSA) is a highly prevalent worldwide public health problem that is characterized by repetitive upper airway collapse leading to intermittent hypoxia, pronounced negative intrathoracic pressures, and recurrent arousals resulting in sleep fragmentation. Obesity is a major risk factor of OSA and both of these two closely intertwined conditions result in increased sympathetic activity, oxidative stress, and chronic low-grade inflammation, which ultimately contribute, among other morbidities, to metabolic dysfunction, as reflected by visceral white adipose tissue (VWAT) insulin resistance (IR). Circulating extracellular vesicles (EVs), including exosomes, are released by most cell types and their cargos vary greatly and reflect underlying changes in cellular homeostasis. Thus, exosomes can provide insights into how cells and systems cope with physiological perturbations by virtue of the identity and abundance of miRNAs, mRNAs, proteins, and lipids that are packaged in the EVs cargo, and are secreted from the cells into bodily fluids under normal as well as diseased states. Accordingly, exosomes represent a novel pathway via which a cohort of biomolecules can travel long distances and result in the modulation of gene expression in selected and targeted recipient cells. For example, exosomes secreted from macrophages play a critical role in innate immunity and also initiate the adaptive immune response within specific metabolic tissues such as VWAT. Under normal conditions, phagocyte-derived exosomes represent a large portion of circulating EVs in blood, and carry a protective signature against IR that is altered when secreting cells are exposed to altered physiological conditions such as those elicited by OSA, leading to emergence of IR within VWAT compartment. Consequently, increased understanding of exosome biogenesis and biology should lead to development of new diagnostic biomarker assays and personalized therapeutic approaches. Here, the evidence on the major biological functions of macrophages and exosomes as pathophysiological effectors of OSA-induced metabolic dysfunction is discussed.