Mesenchymal stem cells (MSCs) are widely used in cell therapy and tissue engineering thanks to their self-renewal, their multipotency, and their immunomodulatory properties that make them an attractive tool for regenerative medicine. A large part of MSCs positive effects is due to their secretion products which participate in creating a favorable microenvironment and closely relate these cells to other cell types. Extracellular vesicles (EVs) belong to cellular secretions. They are produced by cells continuously or after stimulation (e.g., calcium flux, cellular stress) and act in tissue homeostasis and intercellular communication. The understanding of the role of EVs is growing, more particularly their impact on cell migration, differentiation, or immunomodulation. EVs derived from MSCs show these interesting properties that may be considered in therapeutics, although they can have adverse effects by facilitating cancer propagation. Moreover, MSC behavior may also be influenced (proliferation, differentiation) by EVs derived from other donor cells. The aim of this mini review is to summarize the two-way communication between MSCs and other cell types, and how they can affect each other with their microenvironment through EVs. On the one hand, the manuscript presents the influence of MSC-derived EVs on diverse recipient cells and on the other hand, the effects of EVs derived from various donor cells on MSCs. The discrepancies between cancer cells and MSCs communication according to the sources of MSCs but also the tumor origins are also mentioned.