White adipose tissue (WAT) is involved in long-term energy storage and represents 10–15% of total body weight in healthy humans. WAT secretes many peptides (adipokines), hormones and steroids involved in its homeostatic role, especially in carbohydrate–lipid metabolism regulation. Recently, adipocyte-derived extracellular vesicles (AdEVs) have been highlighted as important actors of intercellular communication that participate in metabolic responses to control energy flux and immune response. In this review, we focus on the role of AdEVs in the cross-talks between the different cellular types composing WAT with regard to their contribution to WAT homeostasis and metabolic complications development. We also discuss the AdEV cargoes (proteins, lipids, RNAs) which may explain AdEV’s biological effects and demonstrate that, in terms of proteins, AdEV has a very specific signature. Finally, we list and suggest potential therapeutic strategies to modulate AdEV release and composition in order to reduce their deleterious effects during the development of metabolic complications associated with obesity.