Several non-protein-coding genomic regions, previously marked as “junk DNA”, have been reported to be transcriptionally active, giving rise to non-coding RNA species implicated in fundamental biological and pathological processes. In particular, microRNAs (miRNAs), a class of small non-coding RNAs mediating post-transcriptional gene silencing, are causally involved in several human diseases, including various cancer types. Extracellular vesicles (EVs) are membranous structures physiologically released by most cell types. Initially, they were considered a “waste-removal” mechanism, through which cells could dispose unnecessary material and organelles. It is now widely demonstrated that EVs also play a critical role in intercellular communication, mediating the horizontal transfer of lipids, proteins, and genetic material. A paradigm shift in the biology of miRNAs was represented by the discovery that EVs, especially from cancer cells, contain miRs. EV-associated miRs act as autocrine, paracrine and endocrine factors, participating in cancer pathogenesis by modulating intercellular communication. Noteworthy, these formerly neglected molecules are now considered the next generation of cancer “theranostic” tools, with strong clinical relevance. In this review, we aim to summarize the most recent findings regarding EV-associated miRs in cancer pathogenesis and in the development of novel anti-neoplastic diagnostic and therapeutic approaches.