Since extracellular vesicles (EVs) were discovered in 1983 in sheep reticulocytes samples, they have gradually attracted scientific attention and become a topic of great interest in the life sciences field. EVs are small membrane particles, released by virtually every cell that carries a variety of functional molecules. Their main function is to deliver messages to the surrounding area in both physiological and pathological conditions. Initially, they were thought to be either cell debris, signs of cell death, or unspecific structures. However, accumulating evidence support a theory that EVs are a universal mechanism of communication. Thanks to their biological characteristics and functions, EVs are likely to represent a promising strategy for obtaining pathogen information, identifying therapeutic targets and selecting specific biomarkers for a variety of diseases, such as autoimmune diseases. In this review, we provide a brief overview of recent progress in the study of the biology and functions of EVs. We also discuss their roles in diagnosis and therapy, with particular emphasis on autoimmune diseases.