Extracellular vesicles (EVs) are important mediators of cell-to-cell communication pathways via the transport of proteins, mRNA, miRNA and lipids. There are three main types of EVs, exosomes, microparticles and apoptotic bodies, which are classified according to their size and biogenesis. EVs are secreted by all cell types and their function reproduces that of the parental cell. They are involved in many biological processes that regulate tissue homeostasis and physiopathology of diseases. In rheumatic diseases, namely osteoarthritis (OA) and rheumatoid arthritis (RA), EVs have been isolated from synovial fluid and shown to play pathogenic roles contributing to progression of both diseases. By contrast, EVs may have therapeutic effect via the delivery of molecules that may stop disease evolution. In particular, EVs derived from mesenchymal stem cells (MSCs) reproduce the main functions of the parental cells and therefore represent the ideal type of EVs for modulating the course of either disease. The aim of this review is to discuss the role of EVs in OA and RA focusing on their potential pathogenic effect and possible therapeutic options. Special attention is given to MSCs and MSC-derived EVs for modulating OA and RA progression with the perspective of developing innovative therapeutic strategies.