Extracellular vesicles (EVs) are lipid bilayer nanoparticles released from all known cells and are involved in cell-to-cell communication via their molecular content. EVs have been found in all tissues and body fluids, carrying a variety of biomolecules, including DNA, RNA, proteins, metabolites, and lipids, offering insights into cellular and pathophysiological conditions. Despite the emergence of EVs and their molecular contents as important biological indicators, it remains difficult to explore EV-mediated biological processes due to their small size and heterogeneity and the technical challenges in characterizing their molecular content. EV-associated small RNAs, especially microRNAs, have been extensively studied. However, other less characterized RNAs, including protein-coding mRNAs, long noncoding RNAs, circular RNAs, and tRNAs, have also been found in EVs. Furthermore, the EV-associated proteins can be used to distinguish different types of EVs. The spectrum of EV-associated RNAs, as well as proteins, may be associated with different pathophysiological conditions. Therefore, the ability to comprehensively characterize EVs’ molecular content is critical for understanding their biological function and potential applications in disease diagnosis. Here, we set out to provide an overview of EV-associated RNAs and proteins as well as approaches currently being used to characterize them.