Bone metabolism is regulated by osteoblasts, osteoclasts, osteocytes, and stem cells. Pathologies such as osteoporosis, osteoarthritis, osteonecrosis, and traumatic fractures require effective treatments that favor bone formation and regeneration. Among these, cell therapy based on mesenchymal stem cells (MSC) has been proposed. MSC are osteoprogenitors, but their regenerative activity depends in part on their paracrine properties. These are mainly mediated by extracellular vesicle (EV) secretion. EV modulates regenerative processes such as inflammation, angiogenesis, cell proliferation, migration, and differentiation. Thus, MSC-EV are currently an important tool for the development of cell-free therapies in regenerative medicine. This review describes the current knowledge of the effects of MSC-EV in the different phases of bone regeneration. MSC-EV has been used by intravenous injection, directly or in combination with different types of biomaterials, in preclinical models of bone diseases. They have shown great clinical potential in regenerative medicine applied to bone. These findings should be confirmed through standardization of protocols, a better understanding of the mechanisms of action, and appropriate clinical trials. All that will allow the translation of such cell-free therapy to human clinic applications.