Tissue regeneration is a hot topic in health sciences, particularly because effective therapies promoting the healing of several cell types are lacking, specifically those of the musculoskeletal system. Mesenchymal Stem/Stromal Cells (MSCs) have been identified as crucial players in bone homeostasis, and are considered a promising therapy for diseases such as osteoarthritis (OA) and Rheumatoid Arthritis (RA). However, some known drawbacks limit their use, particularly ethical issues and immunological rejections. Thus, MSCs byproducts, namely Extracellular Vesicles (EVs), are emerging as potential solutions to overcome some of the issues of the original cells. EVs can be modulated by either cellular preconditioning or vesicle engineering, and thus represent a plastic tool to be implemented in regenerative medicine. Further, the use of biomaterials is important to improve EV delivery and indirectly to modulate their content and secretion. This review aims to connect the dots among MSCs, EVs, and biomaterials, in the context of musculoskeletal diseases.