Extracellular vesicles are membrane-enclosed secreted vesicles involved in cell-to-cell communication processes, identified in virtually all body fluids. Among extracellular vesicles, exosomes have gained increasing attention in recent years as they have unique biological origins and deliver different cargos, such as nucleic acids, proteins, and lipids, which might mediate various health processes. In particular, milk-derived exosomes are proposed as bioactive compounds of breast milk, which have been reported to resist gastric digestion and reach systemic circulation, thus being bioavailable after oral intake. In the present manuscript, we critically discuss the available evidence on the health benefits attributed to milk exosomes, and we provide an outlook for the potential future uses of these compounds. The use of milk exosomes as bioactive ingredients represents a novel avenue to explore in the context of human nutrition, and they might exert important beneficial effects at multiple levels, including but not limited to intestinal health, bone and muscle metabolism, immunity, modulation of the microbiota, growth, and development.