Extracellular vesicles (EVs) are a heterogeneous group of particles, between 15 nanometers and 10 microns in diameter, released by almost all cell types in physiological and pathological conditions, including tumors. EVs have recently emerged as particularly interesting informative vehicles, so that they could be considered a true “cell biopsy”. Indeed, EV cargo, including proteins, lipids, and nucleic acids, generally reflects the nature and status of the origin cells. In some cases, EVs are enriched of peculiar molecular cargo, thus suggesting at least a degree of specific cellular packaging. EVs are identified as important and critical players in intercellular communications in short and long distance interplays. Here, we examine the physiological role of EVs and their activity in cross-talk between bone marrow microenvironment and neoplastic cells in hematological malignancies (HMs). In these diseases, HM EVs can modify tumor and bone marrow microenvironment, making the latter “stronger” in supporting malignancy, inducing drug resistance, and suppressing the immune system. Moreover, EVs are abundant in biologic fluids and protect their molecular cargo against degradation. For these and other “natural” characteristics, EVs could be potential biomarkers in a context of HM liquid biopsy and therapeutic tools. These aspects will be also analyzed in this review.