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The early detection of cutaneous melanoma, a potentially lethal cancer with rising incidence, is fundamental to increasing survival and therapeutic adjustment. In stages II–IV especially, additional indications for adjuvant therapy purposes after resection and for treatment of metastatic patients are urgently needed. We investigated whether the fatty acid (FA) and protein compositions of small extracellular vesicles (sEV) derived from the plasma of stage 0–I, II and III–IV melanoma patients (n = 38) could reflect disease stage. The subpopulation of sEV expressing CD81 EV marker (CD81sEV) was captured by an ad hoc immune affinity technique from plasma depleted of large EV. Biological macromolecules were investigated by gas chromatography and mass spectrometry in CD81sEV. A higher content of FA was detectable in patients with respect to healthy donors (HD). Moreover, a higher C18:0/C18:1 ratio, as a marker of cell membrane fluidity, distinguished early (stage 0–I) from late (III–IV) stages’ CD81sEV. Proteomics detected increases in CD14, PON1, PON3 and APOA5 exclusively in stage II CD81sEV, and RAP1B was decreased in stage III–IV CD81sEV, in comparison to HD. Our results suggest that stage dependent alterations in CD81sEV’ FA and protein composition may occur early after disease onset, strengthening the potential of circulating sEV as a source of discriminatory information for early diagnosis, prediction of metastatic behavior and following up of melanoma patients.