Probiotics are live microorganisms that, when administered in adequate amounts, confer a health benefit on the host. The probiotic microorganisms most commonly used in the food and pharmacy industry belong to Lactobacillus and Bifidobacterium, and several strains of these genera have demonstrated beneficial attributes. In addition, some other intestinal bacteria inhabiting the human microbiota, such as Faecalibacterium prausnitzii and Akkermansia muciniphila, have recently been discovered and are able to display health-promoting effects in animal and human trials. The beneficial properties of probiotics have been known for a long time, although little is known about the molecular mechanisms and the molecules responsible for their effects. However, in recent years, advances in microbiome studies, and the use of novel analytical and molecular techniques have allowed a deeper insight into their effects at the molecular level. This review summarizes the current knowledge of some of the molecules of probiotics and other intestinal commensal bacteria responsible for their immunomodulatory effect, focusing on those with more solid scientific evidence.