Over the last few years, extracellular vesicles (EVs) have received increasing attention as potential non-invasive diagnostic and therapeutic biomarkers for various diseases. The interest in EVs is related to their structure and content, as well as to their changing cargo in response to different stimuli. One of the potential areas of use of EVs as biomarkers is the central nervous system (CNS), in particular the brain, because EVs can cross the blood–brain barrier, exist also in peripheral tissues and have a diverse cargo. Thus, they may represent “liquid biopsies” of the CNS that can reflect brain pathophysiology without the need for invasive surgical procedures. Overall, few studies to date have examined EVs in neuropsychiatric disorders, and the present evidence appears to lack reproducibility. This situation might be due to a variety of technical obstacles related to working with EVs, such as the use of different isolation strategies, which results in non-uniform vesicular and molecular outputs. Multi-omics approaches and improvements in the standardization of isolation procedures will allow highly pure EV fractions to be obtained in which the molecular cargo, particularly microRNAs and proteins, can be identified and accurately quantified. Eventually, these advances will enable researchers to decipher disease-relevant molecular signatures of the brain-derived EVs involved in synaptic plasticity, neuronal development, neuro-immune communication, and other related pathways. This narrative review summarizes the findings of studies on EVs in major psychiatric disorders, particularly in the field of biomarkers, and discusses the respective therapeutic potential of EVs.