Almost all cell types release extracellular vesicles (EVs), which are derived either from multivesicular bodies or from the plasma membrane. EVs contain a subset of proteins, lipids, and nucleic acids from the cell from which they are derived. EV factors, particularly small RNAs such as miRNAs, likely play important roles in cell-to-cell communication both locally and systemically. Most of the functions associated with EVs are in the regulation of immune responses to pathogens and cancer, as well as in regulating autoimmunity. This Review will focus on the different modes of immune regulation, both direct and indirect, by EVs. The therapeutic utility of EVs for the regulation of immune responses will also be discussed.