The asteroid (4) Vesta, parent body of the Howardite-Eucrite-Diogenite meteorites, is one of the first bodies that formed, mostly from volatile-depleted material, in the Solar System. The Dawn mission recently provided evidence that hydrated material was delivered to Vesta, possibly in a continuous way, over the last 4 Ga, while the study of the eucritic meteorites revealed a few samples that crystallized in presence of water and volatile elements. The formation of Jupiter and probably its migration occurred in the period when eucrites crystallized, and triggered a phase of bombardment that caused icy planetesimals to cross the asteroid belt. In this work, we study the flux of icy planetesimals on Vesta during the Jovian Early Bombardment and, using hydrodynamic simulations, the outcome of their collisions with the asteroid. We explore how the migration of the giant planet would affect the delivery of water and volatile materials to the asteroid and we discuss our results in the context of the geophysical and collisional evolution of Vesta. In particular, we argue that the observational data are best reproduced if the bulk of the impactors was represented by 1-2 km wide planetesimals and if Jupiter underwent a limited (a fraction of au) displacement.