Glucocorticoids could induce injury and apoptosis of bone microvascular endothelial cells (BMECs) in the femoral head, which is associated with the development of osteonecrosis and osteoporosis. Icariin is a prenylated flavonol glycoside isolated from Epimedium brevicornum, serving as the main active pharmaceutical constituent to treat bone loss. Currently, the impact of the autocrine activity of extracellular vesicles (EVs) induced by icariin on the glucocorticoid-induced injury of BMECs is still to be confirmed. In this study, EVs were isolated from BMECs treated with and without icariin by super-speed centrifugation. Although icariin treatment would not significantly change the size and total protein content of BMECs-derived EVs, expression of EVs-carried vascular endothelial growth factor (VEGF) and transforming growth factor beta 1 (TGF-beta 1) was enhanced and numerous miRNAs involved in cell proliferation and apoptosis were upregulated (e.g., hsa-miR-1469 and hsa-miR-133a-5p) or downregulated (e.g., hsa-miR-10b-5p) (p < 0.05). A total of 29 differentially expressed inflammatory factors were detected between the EVs secreted by BMECs from the Icariin-treated group and the Model group. The EVs secreted by BMECs could improve cell viability, decrease cell apoptosis, and promote cell migration and angiogenesis under the intervention of glucocorticoids. Meanwhile, icariin intervention could reinforce these protective effects of BMECs-derived EVs. To sum up, the present study indicates that icariin acts as a promising candidate for treating glucocorticoid-induced injury of BMECs and bone diseases, partially through the autocrine activity of EVs. In vivo or animal studies are still required to better understand the function of BMECs-derived EVs.