Extracellular vesicles are mediators of cell-cell communication playing a key role in both steady-state and disease conditions. Extracellular vesicles carry diverse donor-derived cargos, including DNA, RNA, proteins, and lipids that induce a complex network of signals in recipient cells. Due to their ability to capture particulate matter and/or capacity to polarize and orchestrate tissue responses, myeloid immune cells (e.g., dendritic cells, macrophages, etc.) rapidly respond to extracellular vesicles, driving local and systemic effects. In cancer, myeloid-extracellular vesicle communication contributes to chronic inflammation, self-tolerance, and therapeutic resistance while in autoimmune disease, extracellular vesicles support inflammation and tissue destruction. Here, we review cellular mechanisms by which extracellular vesicles modulate myeloid immunity in cancer and autoimmune disease, highlighting some contradictory results and outstanding questions. We will also summarize how understanding of extracellular vesicle biology is being utilized for novel therapeutic and diagnostic applications.