Physical Exercise (EXR) has been shown to have numerous beneficial effects on various systems in the human body. It leads to a decrease in the risk of mortality from chronic diseases, such as cardiovascular disease, cancer, and metabolic and central nervous system disorders. EXR results in improving cardiovascular fitness, cognitive function, immune activity, endocrine action and musculoskeletal health. These positive effects make EXR a valuable intervention for promoting overall health and well-being in individuals of all ages. These beneficial effects are partially mediated by the role of the regular EXR in the adaptation to redox homeostasis counteracting the sudden increase of ROS, the hallmark of many chronic diseases. EXR can trigger the release of numerous humoral factors (e.g. protein, microRNA, DNA), that can be shuttled as cargo of Extracellular vesicles (EVs). EVs show different cargo modification after oxidative stress stimuli as well as after EXR. In this review, we aim to highlight the main studies on the role of EVs released during EXR and oxidative stress conditions in enhancing the antioxidant enzymes pathway and in the decrease of oxidative stress environment mediated by their cargo.