Osteoporosis is characterized by low bone mass and damage to the bone tissue’s microarchitecture, leading to increased fracture risk. Several studies have provided evidence for associations between psychosocial stress and osteoporosis through various pathways, including the hypothalamic-pituitary-adrenocortical axis, the sympathetic nervous system, and other endocrine factors. As psychosocial stress provokes oxidative cellular stress with consequences for mitochondrial function and cell signaling (e.g., gene expression, inflammation), it is of interest whether extracellular vesicles (EVs) may be a relevant biomarker in this context or act by transporting substances. EVs are intercellular communicators, transfer substances encapsulated in them, modify the phenotype and function of target cells, mediate cell-cell communication, and, therefore, have critical applications in disease progression and clinical diagnosis and therapy. This review summarizes the characteristics of EVs, their role in stress and osteoporosis, and their benefit as biological markers. We demonstrate that EVs are potential mediators of psychosocial stress and osteoporosis and may be beneficial in innovative research settings.