Mesenchymal stem cells play an important role in tissue damage and repair. This role is mainly due to a paracrine mechanism, and extracellular vesicles (EVs) are an important part of the paracrine function. EVs play a vital role in many aspects of cell homeostasis, physiology, and pathology, and EVs can be used as clinical biomarkers, vaccines, or drug delivery vehicles. A large number of studies have shown that EVs derived from mesenchymal stem cells (MSC-EVs) play an important role in the treatment of various diseases. However, the problems of low production, low retention rate, and poor targeting of MSC-EVs are obstacles to current clinical applications. The engineering transformation of MSC-EVs can make up for those shortcomings, thereby improving treatment efficiency. This review summarizes the latest research progress of MSC-EV direct and indirect engineering transformation from the aspects of improving MSC-EV retention rate, yield, targeting, and MSC-EV visualization research, and proposes some feasible MSC-EV engineering methods of transformation.