The immunomodulatory properties of MSCs can be recreated using their extracellular vesicles (EVs). Yet, the true capabilities of the MSC EVs cannot be distinguished from contaminating bovine EVs and protein derived from supplemental foetal bovine serum (FBS). FBS EV depletion protocols can minimise this, but vary in terms of depletion efficiency, which can negatively impact the cell phenotype. We explore the impact of FBS EV depletion strategies, including ultracentrifugation, ultrafiltration, and serum-free, on umbilical cord MSC characteristics. Whilst a greater depletion efficiency, seen in the ultrafiltration and serum-free strategies, did not impact the MSC markers or viability, the MSCs did become more fibroblastic, had slower proliferation, and showed inferior immunomodulatory capabilities. Upon MSC EV enrichment, more particles, with a greater particle/protein ratio, were isolated upon increasing the FBS depletion efficiency, except for serum-free, which showed a decreased particle number. Whilst all conditions showed the presence of EV-associated markers (CD9, CD63, and CD81), serum-free was shown to represent a higher proportion of these markers when normalised by total protein. Thus, we caution MSC EV researchers on the use of highly efficient EV depletion protocols, showing that it can impact the MSC phenotype, including their immunomodulatory properties, and stress the importance of testing in consideration to downstream objectives.