Extracellular vesicles (EVs) are of great interest to study the cellular mechanisms of cancer development and to diagnose and monitor cancer progression. EVs are a highly heterogeneous population of cell derived particles, which include microvesicles (MVs) and exosomes (EXOs). EVs deliver intercellular messages transferring proteins, lipids, nucleic acids, and metabolites with implications for tumour progression, invasiveness, and metastasis. Epidermal Growth Factor Receptor (EGFR) is a major driver of cancer. Tumour cells with activated EGFR could produce EVs disseminating EGFR itself or its ligands. This review provides an overview of EVs (mainly EXOs and MVs) and their cargo, with a subsequent focus on their production and effects related to EGFR activation. In particular, in vitro studies performed in EGFR-dependent solid tumours and/or cell cultures will be explored, thus shedding light on the interplay between EGFR and EVs production in promoting cancer progression, metastases, and resistance to therapies. Finally, an overview of liquid biopsy approaches involving EGFR and EVs in the blood/plasma of EGFR-dependent tumour patients will also be discussed to evaluate their possible application as candidate biomarkers.