Extracellular vesicles (EVs) are plasma membrane-bound fragments released from several cell types, including mesenchymal stromal cells (MSCs), constitutively or under stimulation. EVs derived from MSCs and other cell types transfer molecules (such as DNA, proteins/peptides, mRNA, microRNA, and lipids) and/or organelles with reparative and anti-inflammatory properties to recipient cells. The paracrine anti-inflammatory effects promoted by MSC-derived EVs have attracted significant interest in the regenerative medicine field, including for potential use in lung injuries. In the present review, we describe the characteristics, biological activities, and mechanisms of action of MSC-derived EVs. We also review the therapeutic potential of EVs as reported in relevant preclinical models of acute and chronic respiratory diseases, such as pneumonia, acute respiratory distress syndrome, asthma, and pulmonary arterial hypertension. Finally, we discuss possible approaches for potentiating the therapeutic effects of MSC-derived EVs so as to enable use of this therapy in clinical practice.