The benefits of exercise on health and longevity are well-established, and evidence suggests that these effects are partially driven by a spectrum of bioactive molecules released into circulation during exercise (e.g., exercise factors or ‘exerkines’). Recently, extracellular vesicles (EVs), including microvesicles (MVs) and exosomes or exosome-like vesicles (ELVs), were shown to be secreted concomitantly with exerkines. These EVs have therefore been proposed to act as cargo carriers or ‘mediators’ of intercellular communication. Given these findings, there has been a rapidly growing interest in the role of EVs in the multi-systemic, adaptive response to exercise. This review aims to summarize our current understanding of the effects of exercise on MVs and ELVs, examine their role in the exercise response and long-term adaptations, and highlight the main methodological hurdles related to blood collection, purification, and characterization of ELVs.