Extracellular vesicles (EVs) are a heterogeneous group of bilayer membrane-wrapped molecules that play an important role in cell-to-cell communication, participating in many physiological processes and in the pathogenesis of several diseases, including multiple sclerosis (MS). In recent years, many studies have focused on EVs, with promising results indicating their potential role as biomarkers in MS and helping us better understand the pathogenesis of the disease. Recent evidence suggests that there are novel subpopulations of EVs according to cell origin, with those derived from cells belonging to the nervous and immune systems providing information regarding inflammation, demyelination, axonal damage, astrocyte and microglia reaction, blood–brain barrier permeability, leukocyte transendothelial migration, and ultimately synaptic loss and neuronal death in MS. These biomarkers can also provide insight into disease activity and progression and can differentiate patients’ disease phenotype. This information can enable new pathways for therapeutic target discovery, and consequently the development of novel treatments. Recent evidence also suggests that current disease modifying treatments (DMTs) for MS modify the levels and content of circulating EVs. EVs might also serve as biomarkers to help monitor the response to DMTs, which could improve medical decisions concerning DMT initiation, choice, escalation, and withdrawal. Furthermore, EVs could act not only as biomarkers but also as treatment for brain repair and immunomodulation in MS. EVs are considered excellent delivery vehicles. Studies in progress show that EVs containing myelin antigens could play a pivotal role in inducing antigen-specific tolerance of autoreactive T cells as a novel strategy for the treatment as “EV-based vaccines” for MS. This review explores the breakthrough role of nervous and immune system cell-derived EVs as markers of pathological disease mechanisms and potential biomarkers of treatment response in MS. In addition, this review explores the novel role of EVs as vehicles for antigen delivery as a therapeutic vaccine to restore immune tolerance in MS autoimmunity.