Non-alcoholic fatty liver disease (NAFLD) is considered the most frequent chronic hepatic disease in the general population, while it is the first cause of liver transplantation in the US. NAFLD patients will subsequently develop non-alcoholic steatohepatitis (NASH), which is characterized by aberrant hepatocellular inflammation with or without the presence of fibrosis. The lack of specific biomarkers and therapeutic strategies makes non-alcoholic steatohepatitis (NASH) management a difficult task for clinicians. Extracellular vesicles (EVs) constitute a heterogenic population of vesicles produced by inward or outward plasma-membrane budding. There is an emerging connection between autophagy EVs production, via an unconventional non-degradative procedure. Alterations in the amount of the secreted EVs and the cargo they carry are also involved in the disease progression and development of NASH. Autophagy constitutes a multistep lysosomal degradative pathway that reassures cell homeostasis and survival under stressful conditions, such as oxygen and energy deprivation. It prevents cellular damage by eliminating defected proteins or nοn-functional intracellular organelles. At the same time, it reassures the optimal conditions for the cells via a different mechanism that includes the removal of cargo via the secretion of EVs. Similarly, autophagy machinery is also associated with the pathogenetic mechanism of NAFLD, while it has a significant implication for the progression of the disease and the development of NASH. In this review, we will shed light on the interplay between autophagy and EVs in NASH, the emerging connection of EVs production with the autophagy pathway, and their possible manipulation for developing future therapeutic strategies for NASH.