Physical exercise stimulates organs, mainly the skeletal muscle, to release a broad range of molecules, recently dubbed exerkines. Among them, RNAs, such as miRNAs, piRNAs, and tRNAs loaded in extracellular vesicles (EVs) have the potential to play a significant role in the way muscle and other organs communicate to translate exercise into health. Low, moderate and high intensity treadmill protocols were applied to rat groups, aiming to investigate the impact of exercise on serum EVs and their associated small RNA molecules. Transmission electron microscopy, resistive pulse sensing, and western blotting were used to investigate EVs morphology, size distribution, concentration and EVs marker proteins. Small RNA libraries from EVs RNA were sequenced. Exercise did not change EVs size, while increased EVs concentration. Twelve miRNAs were found differentially expressed after exercise: rno-miR-128-3p, 103-3p, 330-5p, 148a-3p, 191a-5p, 10b-5p, 93-5p, 25-3p, 142-5p, 3068-3p, 142-3p, and 410-3p. No piRNA was found differentially expressed, and one tRNA, trna8336, was found down-regulated after exercise. The differentially expressed miRNAs were predicted to target genes involved in the MAPK pathway. A single bout of exercise impacts EVs and their small RNA load, reinforcing the need for a more detailed investigation into EVs and their load as mediators of health-promoting exercise.