Two types of extracellular vesicles (EVs), exosomes and ectosomes, are generated and released by all cells, including immune cells. The two EVs appear different in many properties: size, mechanism and site of assembly, composition of their membranes and luminal cargoes, sites and processes of release. In functional terms, however, these differences are minor. Moreover, their binding to and effects on target cells appear similar, thus the two types are considered distinct only in a few cases, otherwise they are presented together as EVs. The EV physiology of the various immune cells differs as expected from their differential properties. Some properties, however, are common: EV release, taking place already at rest, is greatly increased upon cell stimulation; extracellular navigation occurs adjacent and at distance from the releasing cells; binding to and uptake by target cells are specific. EVs received from other immune or distinct cells govern many functions in target cells. Immune diseases in which EVs play multiple, often opposite (aggression and protection) effects, are numerous; inflammatory diseases; pathologies of various tissues; and brain diseases, such as multiple sclerosis. EVs also have effects on interactive immune and cancer cells. These effects are often distinct, promoting cytotoxicity or proliferation, the latter together with metastasis and angiogenesis. Diagnoses depend on the identification of EV biomarkers; therapies on various mechanisms such as (1) removal of aggression-inducing EVs; (2) EV manipulations specific for single targets, with insertion of surface peptides or luminal miRNAs; and (3) removal or re-expression of molecules from target cells.