Extracellular vesicles (EVs) are membrane-bound particles involved in intercellular communication. They carry proteins, lipids, and nucleotides such as microRNAs (miRNAs) from the secreting cell that can modulate target cells. We and others have previously described the presence of EVs in peripheral blood of multiple sclerosis (MS) patients and postulated them as novel biomarkers. However, their immune function in MS pathogenesis and the effect during the onset of new immunomodulatory therapies on EVs remain elusive. Here, we isolated plasma EVs from fingolimod-treated MS patients in order to assess whether EVs are affected by the first dose of the treatment. We quantified EVs, analyzed their miRNA cargo, and checked their immune regulatory function. Results showed an elevated EV concentration with a dramatic change in their miRNA cargo 5 h after the first dose of fingolimod. Besides, EVs obtained prior to fingolimod treatment showed an increased immune regulatory activity compared to EVs obtained 5 h post-treatment. This work suggests that EVs are implicated in the mechanism of action of immunomodulatory treatments from the initial hours and opens a new avenue to explore a potential use of EVs for early treatment monitoring.