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mRNA‐based molecular subtypes have implications for bladder cancer prognosis and clinical benefit from certain therapies. Whether small extracellular vesicles (sEVs) can reflect bladder cancer molecular subtypes is unknown. We performed whole transcriptome RNA sequencing for formalin fixed paraffin embedded (FFPE) tumour tissues and sEVs separated from matched tissue explants, urine and plasma in patients with bladder cancer. sEVs were separated using size‐exclusion chromatography, and characterized by transmission electron microscopy, nano flow cytometry and western blots, respectively. High yield of sEVs were obtained using approximately 1 g of tissue, incubated with media for 30 min. FFPE tumour tissue and tumour tissue‐derived sEVs demonstrated good concordance in molecular subtype classification. All urinary sEVs were classified as luminal subtype, while all plasma sEVs were classified as Ba/Sq subtype, regardless of the molecular subtypes indicated by their matched FFPE tumour tissue. The comparison within urine sEVs, which may exclude the sample type specific background, could pick up the different biology between NMIBC and MIBC, as well as the signature genes related to molecular subtypes. Four candidate sEV‐related bladder cancer‐specific mRNA biomarkers, FAM71E2, OR4K5, FAM138F and KRTAP26‐1, were identified by analysing matched urine sEVs, tumour tissue derived sEVs, and adjacent normal tissue derived sEVs. Compared to sEVs separated from biofluids, tissue‐derived sEVs may reflect more tissue‐ or disease‐specific biological features. Urine sEVs are promising biomarkers to be used for liquid biopsy‐based molecular subtype classification, but the current algorithm needs to be modified/adjusted. Future work is needed to validate the four new bladder cancer‐specific biomarkers in large cohorts. [ABSTRACT FROM AUTHOR]