One of the most effective strategies to fight viruses and handle health diseases is vaccination. Recent studies and current applications are moving on antigen, DNA and RNA-based vaccines to overcome the limitations related to the conventional vaccination strategies, such as low safety, necessity of multiple injection, and side effects. However, due to the instability of pristine antigen, RNA and DNA molecules, the use of nanocarriers is required. Among the different nanocarriers proposed for vaccinal applications, three types of nanovesicles were selected and analysed in this review: liposomes, transfersomes and niosomes. PubMed, Scopus and Google Scholar databases were used for searching recent papers on the most frequently used conventional and innovative methods of production of these nanovesicles. Weaknesses and limitations of conventional methods (i.e., multiple post-processing, solvent residue, batch-mode processes) can be overcome using innovative methods, in particular, the ones assisted by supercritical carbon dioxide. SuperSomes process emerged as a promising production technique of solvent-free nanovesicles, since it can be easily scaled-up, works in continuous-mode, and does not require further post-processing steps to obtain the desired products. As a result of the literature analysis, supercritical carbon dioxide assisted methods attracted a lot of interest for nanovesicles production in the vaccinal field. However, despite their numerous advantages, supercritical processes require further studies for the production of liposomes, transfersomes and niosomes with the aim of reaching well-defined technologies suitable for industrial applications and mass production of vaccines.