Mesenchymal stem cells (MSCs) are a heterogeneous cellular population containing different progenitors able to repair tissues, support hematopoiesis, and modulate immune and inflammatory responses. Several clinical trials have used MSCs in allogeneic hematopoietic stem cell transplantation (allo-HSCT) to prevent hematopoietic stem cell (HSC) engraftment failure, reduce aplasia post chemotherapy, and to control graft versus host disease (GvHD). The efficacy of MSCs is linked to their immune suppressive and anti-inflammatory properties primarily due to the release of soluble factors. Recent studies indicate that most of these effects are mediated by extracellular vesicles (EVs). MSC-EVs have therefore therapeutic effects in regenerative medicine, tumor inhibition, and immune-regulation. MSC-EVs may offer specific advantages for patient safety, such as lower propensity to trigger innate and adaptive immune responses. It has been also shown that MSC-EVs can prevent or treat acute-GvHD by modulating the immune-response and, combined with HSCs, may contribute to the hematopoietic microenvironment reconstitution. Finally, MSC-EVs may provide a new potential therapeutic option (e.g., transplantation, gene therapy) for different diseases, particularly hematological malignancies. In this review, we will describe MSC and MSC-EVs role in improving allo-HSCT procedures and in treating GvHD.