Exosomes are nanovesicles released by normal and tumor cells, which are detectable in cell culture supernatant and human biological fluids, such as plasma. Functions of exosomes released by “normal” cells are not well understood. In fact, several studies have been carried out on exosomes derived from hematopoietic cells, but very little is known about NK cell exosomes, despite the importance of these cells in innate and adaptive immunity. In this paper, we report that resting and activated NK cells, freshly isolated from blood of healthy donors, release exosomes expressing typical protein markers of NK cells and containing killer proteins (i.e., Fas ligand and perforin molecules). These nanovesicles display cytotoxic activity against several tumor cell lines and activated, but not resting, immune cells. We also show that NK-derived exosomes undergo uptake by tumor target cells but not by resting PBMC. Exosomes purified from plasma of healthy donors express NK cell markers, including CD56+ and perforin, and exert cytotoxic activity against different human tumor target cells and activated immune cells as well. The results of this study propose an important role of NK cell-derived exosomes in immune surveillance and homeostasis. Moreover, this study supports the use of exosomes as an almost perfect example of biomimetic nanovesicles possibly useful in future therapeutic approaches against various diseases, including tumors.