Research on the role of extracellular vesicles (sEV) in physiology has demonstrated their undoubted importance in processes such as the transportation of molecules with significance for cell metabolism, cell communication, and the regulation of mechanisms such as cell differentiation, inflammation, and immunity. Although the role of EVs in the immune response is actively investigated, there is little literature revising, in a comprehensive manner, the role of small EVs produced by immune cells. Here, we present a review of studies reporting the release of sEV by different types of leukocytes and the implications of such observations on cellular homeostasis. We also discuss the function of immune cell-derived sEV and their relationship with pathological states, highlighting their potential application in the biomedical field.