Extracellular Vesicles (EVs) are nano-sized double-lipid-membrane-bound structures, acting mainly as signalling mediators between distant cells and, in particular, modulating the immune response and inflammation of targeted cells. Milk and colostrum contain high amounts of EVs that could be exploited as alternative natural systems in antimicrobial fighting. The aim of this study is to evaluate cow colostrum-derived EVs (colosEVs) for their antimicrobial, anti-inflammatory and immunomodulating effects in vitro to assess their suitability as natural antimicrobial agents as a strategy to cope with the drug resistance problem. ColosEVs were evaluated on a model of neonatal calf diarrhoea caused by Escherichia coli infection, a livestock disease where antibiotic therapy often has poor results. Colostrum from Piedmontese cows was collected within 24 h of calving and colosEVs were immediately isolated. IPEC-J2 cell line was pre-treated with colosEVs for 48 h and then infected with EPEC/NTEC field strains for 2 h. Bacterial adherence and IPEC-J2 gene expression analysis (RT-qPCR) of CXCL8, DEFB1, DEFB4A, TLR4, TLR5, NFKB1, MYD88, CGAS, RIGI and STING were evaluated. The colosEVs pre-treatment significantly reduced the ability of EPEC/NTEC strains to adhere to cell surfaces (p = 0.006), suggesting a role of ColosEVs in modulating host−pathogen interactions. Moreover, our results showed a significant decrease in TLR5 (p < 0.05), CGAS (p < 0.05) and STING (p < 0.01) gene expression in cells that were pre-treated with ColosEVs and then infected, thus highlighting a potential antimicrobial activity of ColosEVs. This is the first preliminarily study investigating ColosEV immunomodulatory and anti-inflammatory effects on an in vitro model of neonatal calf diarrhoea, showing its potential as a therapeutic and prophylactic tool.