Intercellular communication among immune cells is vital for the coordination of proper immune responses. Extracellular vesicles and particles (EVPs) act as messengers in intercellular communication, with important consequences for target cell and organ physiology in both health and disease. Under normal physiological conditions, immune cell-derived EVPs participate in immune responses by regulating innate and adaptive immune responses. EVPs play a major role in antigen presentation and immune activation. On the other hand, immune cell-derived EVPs exert immunosuppressive and regulatory effects. Consequently, EVPs may contribute to pathological conditions, such as autoimmune and inflammatory diseases, graft rejection, and cancer progression and metastasis. Here, we provide an overview of the role of EVPs in immune homeostasis and pathophysiology, with a particular focus on their contribution to innate and adaptive immunity and their potential use for immunotherapies.