A number of substances released by the brain under physiological and pathological conditions exert effects on other organs. In turn, substances produced primarily by organs such as bone marrow, adipose tissue, or the heart may have an impact on the metabolism and function and metabolism of the healthy and diseased brain. Despite a mounting amount of evidence supports such bidirectional communication between the brain and other organs, research on the function of molecular mediators carried by extracellular vesicles (EVs) is in the early stages. In addition to being able to target or reach practically any organ, EVs have the ability to cross the blood–brain barrier to transport a range of substances (lipids, peptides, proteins, and nucleic acids) to recipient cells, exerting biological effects. Here, we review the function of EVs in bidirectional communication between the brain and other organs. In a small number of cases, the role has been explicitly proven; yet, in most cases, it relies on indirect evidence from EVs in cell culture or animal models. There is a dearth of research currently available on the function of EVs-carrying mediators in the bidirectional communication between the brain and bone marrow, adipose tissue, liver, heart, lungs, and gut. Therefore, more studies are needed to determine how EVs facilitate communication between the brain and other organs.