Small extracellular vesicles (sEVs), a subset of extracellular vesicles (EVs) originating from the endosomal compartment, are a kind of lipid bilayer vesicles released by almost all types of cells, serving as natural carriers of nucleic acids, proteins, and lipids for intercellular communication and transfer of bioactive molecules. The current findings suggest their vital role in physiological and pathological processes. Various sEVs labeling techniques have been developed for the more advanced study of the function, mode of action, bio-distribution, and related information of sEVs. In this review, we summarize the existing and emerging sEVs labeling techniques, including fluorescent labeling, radioisotope labeling, nanoparticle labeling, chemical contrast agents labeling, and label-free technique. These approaches will pave the way for an in-depth study of sEVs. We present a systematic and comprehensive review of the principles, advantages, disadvantages, and applications of these techniques, to help promote applications of these labeling approaches in future research on sEVs.