Background: Extracellular vesicles (EVs), a recently described mechanism of cell communication, are released from activated microglial cells and macrophages and are a candidate biomarker in diseases characterized by chronic inflammatory process such as multiple sclerosis (MS). Methods: We explored cerebrospinal fluid extracellular vesicle (CSF EV) of myeloid origin (MEVs), cytokine and chemokine levels in patients with clinically isolated syndrome (CIS). Results: We found that CSF MEVs were significantly higher in CIS patients than in controls and were inversely correlated to CSF CCL2 levels. MEVs level were significantly associated with an shorter time to evidence of disease activity (hazard ratio: 1.01, 95% confidence interval: 1.00–1.02, p < 0.01) independently from other known prognostic markers. Conclusion: After a first demyelinating event, CSF EVs may improve risk stratification of these patients and allow more targeted intervention strategies.