Different types of cells, such as endothelial cells, tumor-associated fibroblasts, pericytes, and immune cells, release extracellular vesicles (EVs) in the tumor microenvironment. The components of EVs include proteins, DNA, RNA, and microRNA. One of the most important functions of EVs is the transfer of aforementioned bioactive molecules, which in cancer cells may affect tumor growth, progression, angiogenesis, and metastatic spread. Furthermore, EVs affect the presentation of antigens to immune cells via the transfer of nucleic acids, peptides, and proteins to recipient cells. Recent studies have also explored the potential application of EVs in cancer treatment. This review summarizes the mechanisms by which EVs regulate melanoma development, progression, and their potentials to be applied in therapy. We initially describe vesicle components; discuss their effects on proliferation, anti-melanoma immunity, and drug resistance; and finally focus on the effects of EV-derived microRNAs on melanoma pathobiology. This work aims to facilitate our understanding of the influence of EVs on melanoma biology and initiate ideas for the development of novel therapeutic strategies.