Prymnesium parvum is one of the main contributors to harmful algal blooms, mainly because of its ability to produce prymnesin, a toxin involved in marine specie deaths occurring in these events. At the same time, scientific works are reporting the existence of microalgae-derived extracellular vesicles in different microalgal strains, which as in other species participate in different cellular processes and intra- and intercellular communication. Now, knowing that each of the toxic Prymnesium parvum strains produce one of the three known types of prymnesin, strains PPSR01, SAG 18.97 and UTEX-2797 (that produce the C-type, B-type and A-type prymnesins, respectively) were selected to investigate the proteome of their extracellular vesicles and to elucidate their cellular functions under normal, nitrogen deficient and phosphorus deficient growth conditions. It was observed that although extracellular vesicle size and morphology did not vary significantly between strains, their proteins showed more differences among strains than among treatments. Nonetheless, it was determined that the extracellular vesicles were involved in metabolic processes, compound synthesis, gene expression and cell growth mechanisms. Additionally, significant changes among strains were found in the vesicular proteomes when these were grown in nitrogen-deficient media, whereas phosphorus deficiency only caused changes in the UTEX-2797 strain. Through metabolomic analysis, the extracellular vesicles derived from this last strain were found to transport prymnesin. Together, these findings highlight the role of microalgae-derived extracellular vesicles in the environmental stress response in P. parvum and their impact in algal blooms.