Extracellular vesicles (EVs) are a new revelation in cross-kingdom communication, with increasing evidence showing the diverse roles of bacterial EVs (BEVs) in mammalian cells and host-microbe interactions. BEVs include outer membrane vesicles (OMVs) released by gram-negative bacteria and membrane vesicles (MVs) generated from gram-positive bacteria. Recently, BEVs have drawn attention for their potential as biomarkers and therapeutic tools because they are nano-sized and can deliver bacterial cargo into host cells. Importantly, exposure to BEVs significantly affects various physiological and pathological responses in mammalian cells. Herein, we provide a comprehensive overview of the various effects of BEVs on host cells (i.e., immune cells, endothelial cells, and epithelial cells) and inflammatory/infectious diseases. First, the biogenesis and purification methods of BEVs are summarized. Next, the mechanisms and pathways identified by BEVs that stimulate either pro-inflammatory or anti-inflammatory responses are highlighted. In addition, we discuss the mechanisms by which BEVs regulate host-microbe interactions and their effects on the immune system. Finally, this review focuses on the contribution of BEVs to the pathogenesis of sepsis/septic shock and their therapeutic potential for the treatment of sepsis.