The incidence of bone-related disorders is continuously growing as the aging of the population in developing countries continues to increase. Although therapeutic interventions for bone regeneration exist, their effectiveness is questioned, especially under certain circumstances, such as critical size defects. This gap of curative options has led to the search for new and more effective therapeutic approaches for bone regeneration; among them, the possibility of using extracellular vesicles (EVs) is gaining ground. EVs are secreted, biocompatible, nano-sized vesicles that play a pivotal role as messengers between donor and target cells, mediated by their specific cargo. Evidence shows that bone-relevant cells secrete osteoanabolic EVs, whose functionality can be further improved by several strategies. This, together with the low immunogenicity of EVs and their storage advantages, make them attractive candidates for clinical prospects in bone regeneration. However, before EVs reach clinical translation, a number of concerns should be addressed. Unraveling the EVs’ mode of action in bone regeneration is one of them; the molecular mediators driving their osteoanabolic effects in acceptor cells are now beginning to be uncovered. Increasing the functional and bone targeting abilities of EVs are also matters of intense research. Here, we summarize the cell sources offering osteoanabolic EVs, and the current knowledge about the molecular cargos that mediate bone regeneration. Moreover, we discuss strategies under development to improve the osteoanabolic and bone-targeting potential of EVs.