Mesenchymal stromal cells (MSCs) have long been considered a potential tool for treatment of allergic inflammatory diseases, owing to their immunomodulatory characteristics. In recent decades, the medical utility of MSCs has been evaluated both in vitro and in vivo, providing a foundation for therapeutic applications. However, the existing limitations of MSC therapy indicate the necessity for novel therapies. Notably, small extracellular vesicles (sEV) derived from MSCs have emerged rapidly as candidates instead of their parental cells. The acquisition of abundant and scalable MSC-sEV is an obstacle for clinical applications. The potential application of MSC-sEV in allergic diseases has attracted increasing attention from researchers. By carrying biological microRNAs or active proteins, MSC-sEV can modulate the function of various innate and adaptive immune cells. In this review, we summarise the recent advances in the immunomodulatory properties of MSCs in allergic diseases, the cellular sources of MSC-sEV, and the methods for obtaining high-quality human MSC-sEV. In addition, we discuss the immunoregulatory capacity of MSCs and MSC-sEV for the treatment of asthma, atopic dermatitis, and allergic rhinitis, with a special emphasis on their immunoregulatory effects and the underlying mechanisms of immune cell modulation.