Clinical treatment strategies for musculoskeletal disorders have been a hot research topic. Accumulating evidence suggests that hydrogels loaded with MSC-derived EVs show great potential in improving musculoskeletal injuries. The ideal hydrogels should be capable of promoting the development of new tissues and simulating the characteristics of target tissues, with the properties matching the cell-matrix constituents of autologous tissues. Although there have been numerous reports of hydrogels loaded with MSC-derived EVs for the repair of musculoskeletal injuries, such as intervertebral disc injury, tendinopathy, bone fractures, and cartilage injuries, there are still many hurdles to overcome before the clinical application of modified hydrogels. In this review, we focus on the advantages of the isolation technique of EVs in combination with different types of hydrogels. In this context, the efficacy of hydrogels loaded with MSC-derived EVs in different musculoskeletal injuries is discussed in detail to provide a reference for the future application of hydrogels loaded with MSC-derived EVs in the clinical treatment of musculoskeletal injuries.