Depression is associated with an increased risk of aging-related diseases. It is also seemingly a common psychological reaction to pandemic outbreaks with forced quarantines and lockdowns. Thus, depression represents, now more than ever, a major global health burden with therapeutic management challenges. Clinical data highlights that physical exercise is gaining momentum as a non-pharmacological intervention in depressive disorders. Although it may contribute to the reduction of systemic inflammation associated with depression, the mechanisms underlying the beneficial physical exercise effects in emotional behavior remain to be elucidated. Current investigations indicate that a rapid release of extracellular vesicles into the circulation might be the signaling mediators of systemic adaptations to physical exercise. These biological entities are now well-established intercellular communicators, playing a major role in relevant physiological and pathophysiological functions, including brain cell–cell communication. We also reviewed emerging evidence correlating depression with modified circulating extracellular vesicle surfaces and cargo signatures (e.g., microRNAs and proteins), envisioned as potential biomarkers for diagnosis, efficient disease stratification and appropriate therapeutic management. Accordingly, the clinical data summarized in the present review prompted us to hypothesize that physical exercise-related circulating extracellular vesicles contribute to its antidepressant effects, particularly through the modulation of inflammation. This review sheds light on the triad “physical exercise–extracellular vesicles–depression” and suggests new avenues in this novel emerging field.