Extracellular vesicles (EVs) are double membrane structures released by presumably all cell types that transport and deliver lipids, proteins, and genetic material to near or distant recipient cells, thereby affecting their phenotype. The basic knowledge of their functions in healthy and diseased brain is still murky and many questions about their biology are unsolved. In neurological diseases, EVs are regarded as attractive biomarkers and as therapeutic tools due to their ability to cross the blood-brain barrier (BBB). EVs have been successfully isolated from conditioned media of primary brain cells and cerebrospinal fluid (CSF), but protocols allowing for the direct study of pathophysiological events mediated or influenced by EVs isolated from brain have only recently been published. This review aims to give a brief overview of the current knowledge of EVs' functions in the central nervous system (CNS) and the current protocols to isolate brain-derived EVs (BDEVs) used in different publications. By comparing the proteomic analysis of some of these publications, we also assess the influence of the isolation method on the protein content of BDEVs.