The extracellular vesicles (EVs) have emerged as key players in metabolic disorders rising as an alternative way of paracrine/endocrine communication. In particular, in relation to adipose tissue (AT) secreted EVs, the current knowledge about its composition and function is still very limited. Nevertheless, those vesicles have been lately suggested as key players in AT communication at local level, and also with other metabolic peripheral and central organs participating in physiological homoeostasis, and also contributing to the metabolic deregulation related to obesity, diabetes, and associated comorbidities. The aim of this review is to summarize the most relevant data around the EVs secreted by adipose tissue, and especially in the context of obesity, focusing in its protein cargo. The description of the most frequent proteins identified in EVs shed by AT and its components, including their changes under pathological status, will give the reader a whole picture about the membrane/antigens, and intracellular proteins known so far, in an attempt to elucidate functional roles, and also suggesting biomarkers and new paths of therapeutic action.