The bone marrow (BM) represents a complex microenvironment containing stromal cells, immune cells, osteoclasts, osteoblasts, and hematopoietic cells, which are crucial for the immune response, bone formation, and hematopoiesis. Apart from soluble factors and direct cell-cell contact, extracellular vesicles (EVs), including exosomes, were recently identified as a third mediator for cell communication. Solid evidence has already demonstrated the involvement of various BM-derived cells and soluble factors in the regulation of multiple biological processes whereas the EV-mediated message delivery system from the BM has just been explored in recent decades. These EVs not only perform physiological functions but can also play a role in cancer development, including in Multiple Myeloma (MM) which is a plasma cell malignancy predominantly localized in the BM. This review will therefore focus on the multiple functions of EVs derived from BM cells, the manipulation of the BM by cancer-derived EVs, and the role of BM EVs in MM progression.