Extracellular vesicles (EVs) are mRNA‐containing cell fragments shed into circulation during pathophysiological events. DNA methyltransferases (DNMT1, DNMT3A, and DNMT3B) regulate gene expression by modifying DNA methylation and altering transcription. Sepsis is a systemic insult resulting in vascular dysfunction, which can lead to shock and death. We analysed plasma from ICU patients for circulating EV numbers, defined as particles isolated from 1 mL plasma at 21,000xg, and DNMTs mRNA content as prognostic markers of septic shock. Compared to plasma from critically ill patients with or without sepsis, plasma from septic shock patients contained more EVs per mL, expressed as total DNMTs mRNAs over 5 days, and more individual DNMT mRNAs at each day. A comparison of EV‐DNMT1 (maintenance methylation) with EV‐DNMT3A+DNMT3B (de novo methylation) expression correlated highly with severity, and EVs from septic shock patients carried more total DNMT mRNAs and more DNMT3A+DNMT3B mRNAs than control or sepsis EVs. Total plasma EVs also correlated with sepsis severity. EV‐DNMT mRNAs load, when coupled with total plasma EV number, may be a novel method to diagnose septic shock upon ICU admittance and offer opportunities to more precisely intervene with standard therapy or other targeted interventions to regulate EV release and/or specific DNMT activity.