The extracellular microvesicles (MVs) are attracting much attention because they are found to be the key paracrine mediator participating in tissue regeneration. Dexamethasone (DXM) is widely accepted as an important regulator in tailoring the differentiation potential of mesenchymal stem cells (MSCs). However, the effect of DXM on the paracrine signaling of MSCs remains unknown. To this point, we aimed to explore the role of DXM in regulating the paracrine activity of MSCs through evaluating the release and function of MSC-MVs, based on their physicochemical characteristics and support on osteogenic response. Results showed that DXM had no evident impact on the release of MSC-MVs but played a pivotal role in regulating the function of MSC-MVs. MVs obtained from the DXM-stimulated MSCs (DXM-MVs) increased MC3T3 cell proliferation and migration and upregulated Runt-related transcription factor 2 (Runx2), alkaline phosphatase (ALP), and osteopontin (OPN) expression. The repair efficiency of DXM-MVs for femur defects was further investigated in an established rat model. It was found that DXM-MVs accelerated the healing process of bone formation in the defect area. Thus, we conclude that using DXM as stimuli to obtain functional MSCs-MVs could become a valuable tool for promoting bone regeneration.