The COVID-19 pandemic has become a serious concern and has negatively impacted public health and the economy. It primarily targets the lungs, causing acute respiratory distress syndrome (ARDS); however, it may also lead to multiple organ failure (MOF) and enhanced mortality rates. Hence, there is an urgent need to develop potential effective therapeutic strategies for COVID-19 patients. Extracellular vesicles (EVs) are released from various types of cells that participate in intercellular communication to maintain physiological and pathological processes. EVs derived from various cellular origins have revealed suppressive effects on the cytokine storm during systemic hyper-inflammatory states of severe COVID-19, leading to enhanced alveolar fluid clearance, promoted epithelial and endothelial recovery, and cell proliferation. Being the smallest subclass of EVs, exosomes offer striking characteristics such as cell targeting, being nano-carriers for drug delivery, high biocompatibility, safety, and low-immunogenicity, thus rendering them a potential cell-free therapeutic candidate against the pathogeneses of various diseases. Due to these properties, numerous studies and clinical trials have been performed to assess their safety and therapeutic efficacy against COVID-19. Hence, in this review, we have comprehensively described current updates on progress and challenges for EVs as a potential therapeutic agent for the management of COVID-19.