Rheumatoid arthritis causes excessive bone loss by stimulating osteoclast differentiation. Extracellular vesicles are valuable disease markers, conveyors of distant cell-to-cell communication, and carriers for drug delivery. The aim of this study was to investigate the anti-osteoclastogenic effects of extracellular vesicles derived from dairy Propionibacterium freudenreichii MJ2 (PFEVs) and the improvement effect of PFEVs on collagen-induced arthritis (CIA) animal model. PFEVs were observed by scanning electron microscopy, transmission electron microscopy, nanoparticle tracking analysis, and LC–MS/MS. The inhibitory activity of PFEVs against receptor activator of nuclear factor kappa-B ligand (RANKL)-induced osteoclast differentiation was investigated in RAW 264.7 cells. PFEVs significantly decreased the expression levels of genes and proteins related to osteoclast differentiation. PFEVs decreased RANK–RANKL binding. In a CIA mouse model, PFEVs treatment significantly reduced arthritis scores and collagen-specific immunoglobulins. PFEVs treatment also reduced pro-inflammatory cytokines and increased anti-inflammatory cytokines. The anti-inflammatory effects were confirmed by H&E staining, and PFEVs treatment inhibited osteoclastogenesis in the CIA mouse model. In conclusion, PFEVs inhibited osteoclast differentiation by inhibiting RANK–RANKL signaling, thereby decreasing the expression of osteoclast differentiation-related genes. PFEVs also improved collagen-induced arthritis by inhibiting inflammation and osteoclastogenesis.