Mesenchymal stem/stromal cells (MSCs) are multipotent cells residing in the stromal tissues of the body and capable of promoting tissue repair and attenuating inflammatory processes through their immunomodulatory properties. Preclinical and clinical observations revealed that not only direct intercellular communication mediates MSC properties; in fact, a pivotal role is also played by the release of soluble and bioactive factors, such as cytokines, growth factor and extracellular vesicles (EVs). EVs are membrane-coated vesicles containing a large variety of bioactive molecules, including lipids, proteins, and nucleic acids, such as RNA. EVs release their contents into target cells, thus influencing cell fate through the control of intracellular processes. In addition, MSC-derived EVs can mediate modulatory effects toward different effector cells belonging to both innate and adaptive immunity. In this review, we will discuss the literature data concerning MSC-derived EVs, including the current standardized methods for their isolation and characterization, the mechanisms supporting their immunoregulatory properties, and their potential clinical application as alternative to MSC-based therapy for inflammatory reactions, such as graft-versus-host disease (GvHD).