Self-consistent and universal description of friction and diffusion for Brownian particles in such various systems as dusty plasma and active particles (e.g., cells in biological systems) is presented. Generalized friction function is determined to describe the friction force itself as well as a drag force in the case of non-zero driven ion velocity in plasmas.Brownian dynamics nowadays is in the focus of interest due to the wide fields of applications: physicalchemical systems, dusty plasmas, various objects in biological systems. Existence of the Einstein relation and even the correct specific forms of the Fokker-Planck equation for such systems are not still completely clarified. Recently the friction and diffusion coefficients as functions of the grain velocity V were rigorously calculated for dusty plasmas [1]. Due to ion absorption by grains the friction coefficient can become negative [2]. In this work we develop a general approach based on the probability transition (PT) [3], to the calculation of the velocity dependent friction and diffusion coefficients for such different systems as dusty plasmas (within the well known model with a fix grain mass) and active particles, e.g. cells.The friction and diffusion coefficients β(V ) and D(V ) = D (V ) (tensorial character of D for the cases considered here is negligible) are determined via the probability transition w(P, q) asHere (Pq) is the scalar product in velocity space of the dimension s and P ≡ M V.Therefore it is impossible to define the friction and diffusion coefficients independently not only for the processes, which describe the systems close to thermodynamic equilibrium, when the Einstein relation is a priori valid, but also for the systems in which there is stationary, but non-equilibrium state, or for the systems far from equilibrium. For the Boltzmann-type collisions between light particles (conventionally atoms) and grains with the masses, respectively, m and M (m M ), the PT function w(P, q) and the coefficients β(V ) and D(V ) can be calculated for an arbitrary cross-section [3]. The Einstein relation is violated only for extremely high grain velocity values V > T /m, where T is the atomic temperature. For spherical grains of radius a the interpolation relation between the diffusion and friction coefficients with the exact velocity asymptotes is: