Intercellular communication, through direct and indirect cell contact, is mandatory in multicellular organisms. These last years, the microenvironment, and in particular, transfer by extracellular vesicles (EVs), has emerged as a new communication mechanism. Different biological fluids and cell types are common sources of EVs. EVs play different roles, acting as signalosomes, biomarkers, and therapeutic agents. As therapeutic agents, MSC-derived EVs display numerous advantages: they are biocompatible, non-immunogenic, and stable in circulation, and they are able to cross biological barriers. Furthermore, EVs have a great potential for drug delivery. Different EV isolation protocols and loading methods have been tested and compared. Published and ongoing clinical trials, and numerous preclinical studies indicate that EVs are safe and well tolerated. Moreover, the latest studies suggest their applications as nanocarriers. The current review will describe the potential for MSC-derived EVs as drug delivery systems (DDS) in disease treatment, and their advantages. Thereafter, we will outline the different EV isolation methods and loading techniques, and analyze relevant preclinical studies. Finally, we will describe ongoing and published clinical studies. These elements will outline the benefits of MSC-derived EV DDS over several aspects.