Psychological stress has been associated with the onset of several diseases, including osteoporosis. However, the underlying pathogenic mechanism remains unknown, and effective therapeutic strategies are still unavailable. Growing evidence suggests that the sympathetic nervous system regulates bone homeostasis and vascular function under psychological stress, as well as the coupling of osteogenesis and angiogenesis in bone development, remodeling, and regeneration. Furthermore, extracellular vesicles (EVs), particularly mesenchymal stem cell extracellular vesicles (MSC–EVs), have emerged as prospecting therapies for stimulating angiogenesis and bone regeneration. We summarize the role of sympathetic regulation in bone homeostasis and vascular function in response to psychological stress and emphasize the relationship between vessels and bone. Finally, we suggest using MSC–EVs as a promising therapeutic method for treating osteoporosis in psychological stress.