The interchange of information from one cell to another relies on the release of hundreds of different molecules including small peptides, amino acids, nucleotides, RNA, steroids, retinoids, or fatty acid metabolites. Many of them are released to the extracellular matrix as free molecules and others can be part of the cargo of cellular vesicles. Small extracellular vesicles (30–150 nm), also known as exosomes, are a known mechanism of cell-to-cell communication in the nervous system. Exosomes participate in the pathogenesis of several neurological conditions including Alzheimer’s and Parkinson’s disease. However, exciting emerging evidence demonstrates that exosomes also regulate mechanisms of the sensory process including nociception. The goal of this review is to summarize the literature on exosome biogenesis, methods of small vesicle isolation and purification, and their role in nociception. We also provide insights on the potential applications of exosomes as pain biomarkers or as novel therapeutics.