In response to acute exercise, an array of metabolites, nucleic acids, and proteins are enriched in circulation. Collectively termed “exercise factors,” these molecules represent a topical area of research given their speculated contribution to both acute exercise metabolism and adaptation to exercise training. In addition to acute changes induced by exercise, the resting profile of circulating exercise factors may be altered by exercise training. Many exercise factors are speculated to be transported in circulation as the cargo of extracellular vesicles (EVs), and in particular, a sub-category termed “small EVs.” This review describes an overview of exercise factors, small EVs and the effects of exercise, but is specifically focused on a critical appraisal of methodological approaches and current knowledge in the context of changes in the resting profile small EVs induced by exercise training, and the potential bioactivities of preparations of these “exercise-trained” small EVs. Research to date can only be considered preliminary, with interpretation of many studies hindered by limited evidence for the rigorous identification of small EVs, and the conflation of acute and chronic responses to exercise due to sample timing in proximity to exercise. Further research that places a greater emphasis on the rigorous identification of small EVs, and interrogation of potential bioactivity is required to establish more detailed descriptions of the response of small EVs to exercise training, and consequent effects on exercise adaptation.