The bone marrow (BM) microenvironment in hematological malignancies (HMs) comprises heterogeneous populations of neoplastic and nonneoplastic cells. Cancer stem cells (CSCs), neoplastic cells, hematopoietic stem cells (HSCs), and mesenchymal stromal/stem cells (MSCs) are all components of this microenvironment. CSCs are the HM initiators and are associated with neoplastic growth and drug resistance, while HSCs are able to reconstitute the entire hematopoietic system; finally, MSCs actively support hematopoiesis. In some HMs, CSCs and neoplastic cells compromise the normal development of HSCs and perturb BM-MSCs. In response, “reprogrammed” MSCs generate a favorable environment to support neoplastic cells. Extracellular vesicles (EVs) are an important cell-to-cell communication type in physiological and pathological conditions. In particular, in HMs, EV secretion participates to unidirectional and bidirectional interactions between neoplastic cells and BM cells. The transfer of EV molecular cargo triggers different responses in target cells; in particular, malignant EVs modify the BM environment in favor of neoplastic cells at the expense of normal HSCs, by interfering with antineoplastic immunity and participating in resistance to treatment. Here, we review the role of EVs in BM cell communication in physiological conditions and in HMs, focusing on the effects of BM niche EVs on HSCs and MSCs.