Osteosarcoma (OS) is an aggressive bone tumor that mainly affects children and adolescents. OS has a strong tendency to relapse and metastasize, resulting in poor prognosis and survival. The high heterogeneity and genetic complexity of OS make it challenging to identify new therapeutic targets. Mesenchymal stem cells (MSCs) are multipotent stem cells that can differentiate into adipocytes, osteoblasts, or chondroblasts. OS is thought to originate at some stage in the differentiation process of MSC to pre-osteoblast or from osteoblast precursors. MSCs contribute to OS progression by interacting with tumor cells via paracrine signaling and affect tumor cell proliferation, invasion, angiogenesis, immune response, and metastasis. Extracellular vesicles (EVs), secreted by OS cells and MSCs in the tumor microenvironment, are crucial mediators of intercellular communication, driving OS progression by transferring miRNAs/RNA and proteins to other cells. MSC-derived EVs have both pro-tumor and anti-tumor effects on OS progression. MSC-EVs can be also engineered to deliver anti-tumor cargo to the tumor site, which offers potential applications in MSC-EV-based OS treatment. In this review, we highlight the role of MSCs in OS, with a focus on EV-mediated communication between OS cells and MSCs and their role in OS pathogenesis and therapy.