Extracellular vesicles (EVs) are lipid-bound vesicles released from cells under physiological and pathological conditions. Basing on biogenesis, dimension, content and route of secretion, they can be classified into exosomes, microvesicles (MVs) and apoptotic bodies. EVs have a key role as bioactive mediators in intercellular communication, but they are also involved in other physiological processes like immune response, blood coagulation, and tissue repair. The interest in studying EVs has increased over the years due to their involvement in several diseases, such as cardiovascular diseases (CVDs), and their potential role as biomarkers in diagnosis, therapy, and in drug delivery system development. Nowadays, the improvement of mass spectrometry (MS)-based techniques allows the characterization of the EV protein composition to deeply understand their role in several diseases. In this review, a critical overview is provided on the EV’s origin and physical properties, as well as their emerging functional role in both physiological and disease conditions, focusing attention on the role of exosomes in CVDs. The most important cardiac exosome proteomic studies will be discussed giving a qualitative and quantitative characterization of the exosomal proteins that could be used in future as new potential diagnostic markers or targets for specific therapies.