With the aging and obesity era, the increasing incidence of diabetes and diabetic complications, especially the non‐healing wounds, imposes a serious economic burden on both patients and society. The complex microenvironments, including hyperglycemia, bacterial infection, ischemia, and nerve damage, lead to the prolonged inflammation and proliferation phase of diabetic wounds. Mesenchymal stem cell‐derived small extracellular vesicles (MSC‐sEVs), which contain a rich variety of therapeutic molecules, have been chased for decades because of their potential roles in cellular communication, tissue regeneration, and drug delivery. As powerful tools for the controlled‐sustained release of sEVs, biocompatible hydrogels have been applied in a wide range of biomedical applications. Herein, we first summarize the pathological features of diabetic wounds, such as angiopathy, neuropathy, and immune cell dysfunction. Then, we discuss the biological properties, therapeutic performance, and stability of pure MSC‐sEVs. After that, we discuss the components, application patterns, and responsiveness of hydrogels. Next, we discuss the loading avenues of MSC‐sEVs into hydrogel, the release behaviors of sEVs from hydrogels, and the influence of the crosslinking method on the hydrogel‐sEV composites. Finally, we provide an overview of the current applications of hydrogels loaded with MSC‐sEVs as a novel cell‐free tissue engineering system in managing diabetic wounds and propose the critical unsolved issues. This review is expected to provide meaningful guidance for developing a novel cell‐free tissue engineering system for diabetic wound management.