Asthma is the most common chronic respiratory disorder worldwide and accounts for a huge health and economic burden. Its incidence is rapidly increasing but, in parallel, novel personalized approaches have emerged. Indeed, the improved knowledge of cells and molecules mediating asthma pathogenesis has led to the development of targeted therapies that significantly increased our ability to treat asthma patients, especially in severe stages of disease. In such complex scenarios, extracellular vesicles (EVs i.e., anucleated particles transporting nucleic acids, cytokines, and lipids) have gained the spotlight, being considered key sensors and mediators of the mechanisms controlling cell-to-cell interplay. We will herein first revise the existing evidence, mainly by mechanistic studies in vitro and in animal models, that EV content and release is strongly influenced by the specific triggers of asthma. Current studies indicate that EVs are released by potentially all cell subtypes in the asthmatic airways, particularly by bronchial epithelial cells (with different cargoes in the apical and basolateral side) and inflammatory cells. Such studies largely suggest a pro-inflammatory and pro-remodelling role of EVs, whereas a minority of reports indicate protective effects, particularly by mesenchymal cells. The co-existence of several confounding factors—including technical pitfalls and host and environmental confounders—is still a major challenge in human studies. Technical standardization in isolating EVs from different body fluids and careful selection of patients will provide the basis for obtaining reliable results and extend their application as effective biomarkers in asthma.