Extracellular vesicles (EVs) are nanosized membrane-bound structures released by cells that are able to transfer nucleic acids, protein cargos, and metabolites to specific recipient cells, allowing cell-to-cell communications in an endocrine and paracrine manner. Endothelial, leukocyte, and platelet-derived EVs have emerged both as biomarkers and key effectors in the development and progression of different stages of vascular damage, from earliest alteration of endothelial function, to advanced atherosclerotic lesions and cardiovascular calcification. Under pathological conditions, circulating EVs promote endothelial dysfunction by impairing vasorelaxation and instigate vascular inflammation by increasing levels of adhesion molecules, reactive oxygen species, and proinflammatory cytokines. Platelets, endothelial cells, macrophages, and foam cells secrete EVs that regulate macrophage polarization and contribute to atherosclerotic plaque progression. Finally, under pathological stimuli, smooth muscle cells and macrophages secrete EVs that aggregate between collagen fibers and serve as nucleation sites for ectopic mineralization in the vessel wall, leading to formation of micro- and macrocalcification. In this review, we summarize the emerging evidence of the pathological role of EVs in vascular damage, highlighting the major findings from the most recent studies and discussing future perspectives in this research field.