Lung cancer is the deadliest cancer worldwide, primarily because of its metastatic spread. Extracellular vesicles (EVs) are small lipid-bilayer particles released by almost all types of cells. EVs play fundamental roles in cell-cell communication and cell-environment interactions by carrying proteins, nucleic acids such as DNA and RNA (mRNAs, lncRNAs, and miRNAs), and other bioactive molecules that are able to influence the behaviour of recipient cells. EVs have been described as key players in the modulation of tumour progression and the anticancer immune response. In this review, we highlight current knowledge on the role of non-coding RNAs in the modulation of the immune response, focusing on lung cancer. Since EVs are fundamental cell-to-cell mediators, we discuss the current knowledge on the immunomodulatory properties of tumour-derived EVs and, in particular, their ncRNA cargo during the different phases of lung cancer development and progression.