Osteoporosis (OP) is a chronic bone disease characterized by decreased bone mass, destroyed bone microstructure, and increased bone fragility. Accumulative evidence shows that extracellular vesicles (EVs) derived from mesenchymal stem cells (MSCs) (MSC-EVs), especially exosomes (Exos), exhibit great potential in the treatment of OP. However, the research on MSC-EVs in the treatment of OP is still in the initial stage. The potential mechanism has not been fully clarified. Therefore, by reviewing the relevant literature of MSC-EVs and OP in recent years, we summarized the latest application of bone targeted MSC-EVs in the treatment of OP and further elaborated the potential mechanism of MSC-EVs in regulating bone formation, bone resorption, bone angiogenesis, and immune regulation through internal bioactive molecules to alleviate OP, providing a theoretical basis for the related research of MSC-EVs in the treatment of OP.