Extracellular vesicles (EVs), comprising exosomes and microvesicles, are small membranous structures secreted by nearly all cell types. They have emerged as crucial mediators in intercellular communication, playing pivotal roles in diverse physiological and pathological processes, notably within the realm of immunity. These roles go beyond mere cellular interactions, as extracellular vesicles stand as versatile and dynamic components of immune regulation, impacting both innate and adaptive immunity. Their multifaceted involvement includes immune cell activation, antigen presentation, and immunomodulation, emphasising their significance in maintaining immune homeostasis and contributing to the pathogenesis of immune-related disorders. Extracellular vesicles participate in immunomodulation by delivering a wide array of bioactive molecules, including proteins, lipids, and nucleic acids, thereby influencing gene expression in target cells. This manuscript presents a comprehensive review that encompasses in vitro and in vivo studies aimed at elucidating the mechanisms through which EVs modulate human immunity. Understanding the intricate interplay between extracellular vesicles and immunity is imperative for unveiling novel therapeutic targets and diagnostic tools applicable to various immunological disorders, including autoimmune diseases, infectious diseases, and cancer. Furthermore, recognising the potential of EVs as versatile drug delivery vehicles holds significant promise for the future of immunotherapies.