Extracellular vesicles (EVs) are complex phospholipidic structures actively released by cells. EVs are recognized as powerful means of intercellular communication since they contain many signaling molecules (including lipids, proteins, and nucleic acids). In parallel, changes in epigenetic processes can lead to changes in gene function and finally lead to disease onset and progression. Recent breakthroughs have revealed the complex roles of non-coding RNAs (microRNAs (miRNAs) and long non-coding RNAs (lncRNAs)) in epigenetic regulation. Moreover, a substantial body of evidence demonstrates that non-coding RNAs can be shuttled among the cells and tissues via EVs, allowing non-coding RNAs to reach distant cells and exert systemic effects. Resident bone cells, including osteoclasts, osteoblasts, osteocytes, and endothelial cells, are tightly regulated by non-coding RNAs, and many of them can be exported from the cells to neighboring ones through EVs, triggering pathological conditions. For these reasons, researchers have also started to exploit EVs as a theranostic tool to address osteoporosis. In this review, we summarize some recent findings regarding the EVs’ involvement in the fine regulation of non-coding RNAs in the context of bone metabolism and osteoporosis.