There is growing evidence that mesenchymal stem cell (MSC)-based immunosuppression was mainly attributed to the effects of MSC-derived extracellular vesicles (MSC-EVs). MSC-EVs are enriched with MSC-sourced bioactive molecules (messenger RNA (mRNA), microRNAs (miRNAs), cytokines, chemokines, immunomodulatory factors) that regulate phenotype, function and homing of immune cells. In this review article we emphasized current knowledge regarding molecular mechanisms responsible for the therapeutic effects of MSC-EVs in attenuation of autoimmune and inflammatory diseases. We described the disease-specific cellular targets of MSC-EVs and defined MSC-sourced molecules, which were responsible for MSC-EV-based immunosuppression. Results obtained in a large number of experimental studies revealed that both local and systemic administration of MSC-EVs efficiently suppressed detrimental immune response in inflamed tissues and promoted survival and regeneration of injured parenchymal cells. MSC-EVs-based anti-inflammatory effects were relied on the delivery of immunoregulatory miRNAs and immunomodulatory proteins in inflammatory immune cells (M1 macrophages, dendritic cells (DCs), CD4+Th1 and Th17 cells), enabling their phenotypic conversion into immunosuppressive M2 macrophages, tolerogenic DCs and T regulatory cells. Additionally, through the delivery of mRNAs and miRNAs, MSC-EVs activated autophagy and/or inhibited apoptosis, necrosis and oxidative stress in injured hepatocytes, neurons, retinal cells, lung, gut and renal epithelial cells, promoting their survival and regeneration.