In recent years, extracellular vesicles (EVs), cell-derived micro and nano-sized structures enclosed in a double-layer membrane, have been in the spotlight for their high potential in diagnostic and therapeutic applications. Indeed, they act as signal mediators between cells and/or tissues through different mechanisms involving their complex cargo and exert a number of biological effects depending upon EVs subtype and cell source. Being produced by almost all cell types, they are found in every biological fluid including milk. Milk EVs (MEVs) can enter the intestinal cells by endocytosis and protect their labile cargos against harsh conditions in the intestinal tract. In this study, we performed a metabolomic analysis of MEVs, from three different species (i.e., bovine, goat and donkey) by mass spectroscopy (MS) coupled with Ultrahigh-performance liquid chromatography (UHPLC). Metabolites, both common or specific of a species, were identified and enriched metabolic pathways were investigated, with the final aim to evaluate their anti-inflammatory and immunomodulatory properties in view of prospective applications as a nutraceutical in inflammatory conditions. In particular, metabolites transported by MEVs are involved in common pathways among the three species. These metabolites, such as arginine, asparagine, glutathione and lysine, show immunomodulating effects. Moreover, MEVs in goat milk showed a greater number of enriched metabolic pathways as compared to the other kinds of milk.