Extracellular vesicles (EVs), like exosomes, are nanosized membrane-enveloped vesicles containing different bioactive cargo, such as proteins, lipids, mRNA, miRNA, and other small regulatory RNAs. Cell-derived EVs, including EVs originating from stem cells, may capture components from damaged cells or cells impacted by therapeutic treatments. Interestingly, EVs derived from stem cells can be preconditioned to produce and secrete EVs with different therapeutic properties, particularly with respect to heat-shock proteins and other molecular cargo contents. This behavior is consistent with stem cells that also respond differently to various microenvironments. Heat-shock proteins play roles in cellular protection and mediate cellular resistance to radiotherapy, chemotherapy, and heat shock. This review highlights the possible roles EVs play in mediating cellular plasticity and survival when exposed to different physical and chemical stressors, with a special focus on the respiratory distress due to the air pollution.