Obesity is a major public health issue that is associated with metabolic diseases including diabetes mellitus type 2 and metabolic syndrome. This pathology leads to detrimental cardiovascular health and secondary effects, such as lipotoxicity, inflammation, and oxidative stress. Recently, extracellular vesicles (EVs) have been highlighted as novel players participating in human physiology and pathophysiology. In obesity, adipose tissue is related to the active shedding of adipocyte-derived extracellular vesicles (AdEVs). The current review explores and highlights the role of AdEVs and their cargo in obesity and metabolic syndrome. AdEVs are proposed to play an important role in obesity and its comorbidities. AdEVs are biological nanoparticles mainly shed by visceral and subcutaneous adipose tissue, acting in physiological and pathophysiological conditions, and also carrying different cargo biomolecules, such as RNA, microRNA (miRNA), proteins, and lipids, among others. RNA and miRNA have local and systemic effects affecting gene expression in target cell types via paracrine and endocrine actions. State of the art analyses identified some miRNAs, such as miR-222, miR-23b, miR-4429, miR-148b, and miR-4269, that could potentially affect cell pathways involved in obesity-related comorbidities, such as chronic inflammation and fibrosis. Similarly, AdEVs-proteins (RBP4, perilipin-A, FABP, mimecan, TGFBI) and AdEVs-lipids (sphingolipids) have been linked to the obesity pathophysiology. The current knowledge about AdEVs along with further research would support and reveal novel pathways, potential biomarkers, and therapeutic options in obesity.