(1) Background: Extracellular vesicles (EVs) are released by most cell types and are implicated in several biological and pathological processes, including multiple sclerosis (MS). Differences in the number and cargo of plasma-derived EVs have been described in MS. In this work, we have characterised the EV RNA cargo of MS patients, with particular attention to circular RNAs (circRNAs), which have attracted increasing attention for their roles in physiology and disease and their biomarker potential. (2) Methods: Plasma-derived EVs were isolated by differential centrifugation (20 patients, 8 controls), and RNA-Sequencing was used to identify differentially expressed linear and circRNAs. (3) Results: We found differences in the RNA type distribution, circRNAs being enriched in EVs vs. leucocytes. We found a number of (corrected p-value < 0.05) circRNA significantly DE between the groups. Nevertheless, highly structured circRNAs are preferentially retained in leukocytes. Differential expression analysis reports significant differences in circRNA and linear RNA expression between MS patients and controls, as well as between different MS types. (4) Conclusions: Plasma derived EV RNA cargo is not a representation of leukocytes’ cytoplasm but a message worth studying. Moreover, our results reveal the interest of circRNAs as part of this message, highlighting the importance of further understanding RNA regulation in MS.