Initially suggested as simple cell debris, cell-derived microvesicles (MVs) have now gained acceptance as recognized players in cellular communication and physiology. Shed by most, and perhaps all, human cells, these tiny lipid-membrane vesicles carry bioactive agents, such as proteins, lipids and microRNA from their cell source, and are produced under orchestrated events in response to a myriad of stimuli. Physical exercise introduces systemic physiological challenges capable of acutely disrupting cell homeostasis and stimulating the release of MVs into the circulation. The novel and promising field of exercise-derived MVs is expanding quickly, and the following work provides a review of the influence of exercise on circulating MVs, considering both acute and chronic aspects of exercise and training. Potential effects of the MV response to exercise are highlighted and future directions suggested as exercise and sports sciences extend the realm of extracellular vesicles.