Respiratory diseases impose a substantial global burden; however, early diagnosis, disease-activity monitoring, and the clinical translation of nucleic acid therapeutics are constrained by the lack of robust biomarkers and efficient delivery systems. This narrative review focuses on four classes of RNA—messenger RNA (mRNA), circular RNA (circRNA), small interfering RNA (siRNA), and microRNA (miRNA)—using exosomes as a representative subtype of extracellular vesicles (EVs) to discuss EV biogenesis, transport, uptake, and engineered cargo loading. We summarize the diagnostic and therapeutic applications of EV-associated nucleic acids in chronic or non-severe respiratory diseases, including asthma, chronic obstructive pulmonary disease, idiopathic pulmonary fibrosis, and cystic fibrosis, as well as in severe acute conditions such as acute respiratory distress syndrome and severe pneumonia. Biofluid-derived EV-associated RNAs can reflect inflammation, immune dysregulation, epithelial injury, infection, and fibrosis, supporting their potential use in disease classification, monitoring, and prognostic assessment. Natural EVs may modulate inflammation and tissue repair through their endogenous cargo, while engineered EVs can deliver therapeutic nucleic acids to exert anti-inflammatory, anti-infective, antifibrotic, and barrier-restorative effects. However, clinical translation is limited by non-standardized isolation and characterization methods, product heterogeneity, variable cargo loading, and insufficient stability and quality-control frameworks. Continued advances in EV isolation, characterization, nucleic acid loading, potency assessment, and manufacturing control are required to realize the diagnostic and therapeutic potential of EV-associated nucleic acids in respiratory diseases.