In numerous body locations, muscle and adipose tissue are in close contact. Both tissues are endocrine organs that release cytokines, playing a crutial role in the control of tissue homeostasis in health and diseases. Within this context, the identification of the signals involved in muscle–fat crosstalk has been a hot topic over the last 15 years. Recently, it has been discovered that adipose tissue and muscles can release information embedded in lipid-derived nanovesicles called ‘extracellular vesicles’ (EVs), which can modulate the phenotype and the homeostasis of neighboring recipient cells. This article reviews knowledge on EVs and their involvement in the communication between adipose tissue and muscle in several body locations. Even if the works are scarce, they have revolutionized our vision in the field of metabolic and cardiovascular diseases.