Embryo implantation is a complex process in which significant changes occur continually in both the corpora lutea and in the endometrium of females and which varies depending on the embryonic, pre-implantation, or fetal stages. However, at all stages, correct maternal–embryonic communication is essential. In the last few years, a new intercellular communication tool, mediated by extracellular vesicles (EVs), has emerged. Many authors agree on the relevant role of EVs in correct communication between the mother and the embryo, as a fundamental system for the pregnancy to reach term and embryonic development to occur correctly. This review analyzes current information on known EVs, their main functions, and their role in implantation and embryonic development in domestic animals.