As immune cells, microglia serve a dual role in cognition. Microglia-derived sEV actively contribute to the development of cognitive impairment by selectively targeting specific cells through various substances such as proteins, RNA, DNA, lipids, and metabolic waste. In recent years, there has been an increasing focus on understanding the pathogenesis and therapeutic potential of sEV. This comprehensive review summarizes the detrimental effects of M1 microglial sEV on pathogenic protein transport, neuroinflammation, disruption of the blood-brain barrier (BBB), neuronal death and synaptic dysfunction in relation to cognitive damage. Additionally, it highlights the beneficial effects of M2 microglia on alleviating cognitive impairment based on evidence from cellular experiments and animal studies. Furthermore, since microglial-secreted sEV can be found in cerebrospinal fluid or cross the BBB into plasma circulation, they play a crucial role in diagnosing cognitive impairment. However, using sEV as biomarkers is still at an experimental stage and requires further clinical validation. Future research should aim to explore the mechanisms underlying microglial involvement in various nervous system disorders to identify novel targets for clinical interventions.