Extracellular vesicles (EVs) are messengers that carry information in the form of proteins, lipids, and nucleic acids and are not only essential for intercellular communication but also play a critical role in the progression of various pathologies, including ovarian cancer. There has been recent substantial research characterising EV cargo, specifically, the lipid profile of EVs. Lipids are involved in formation and cargo sorting of EVs, their release and cellular uptake. Numerous lipidomic studies demonstrated the enrichment of specific classes of lipids in EVs derived from cancer cells suggesting that the EV associated lipids can potentially be employed as minimally invasive biomarkers for early diagnosis of various malignancies, including ovarian cancer. In this review, we aim to provide a general overview of the heterogeneity of EV, biogenesis, their lipid content, and function in cancer progression focussing on ovarian cancer.