Extracellular vesicles (EVs) are membrane-surrounded cellular particles released by virtually any cell type, containing numerous bioactive molecules, including lipids, proteins, and nucleic acids. EVs act as a very efficient intercellular communication system by releasing their content into target cells, thus affecting their fate and influencing several biological processes. EVs are released both in physiological and pathological conditions, including several types of cancers. In hematological malignancies (HM), EVs have emerged as new critical players, contributing to tumor-to-stroma, stroma-to-tumor, and tumor-to-tumor cell communication. Therefore, EVs have been shown to play a crucial role in the pathogenesis and clinical course of several HM, contributing to tumor development, progression, and drug resistance. Furthermore, tumor EVs can reprogram the bone marrow (BM) microenvironment and turn it into a sanctuary, in which cancer cells suppress both the normal hematopoiesis and the immunological antitumor activity, conferring a therapy-resistant phenotype. Due to their physicochemical characteristics and pro-tumor properties, EVs have been suggested as new diagnostic biomarkers, therapeutic targets, and pharmacological nanocarriers. This review aims to provide an update on the pathogenetic contribution and the putative therapeutic utility of EVs in hematological diseases.