Over the last 20 years, extracellular vesicles (EVs) have been established as an additional way to transmit signals outside the cell. They are membrane-surrounded structures of nanometric size that can either originate from the membrane invagination of multivesicular bodies of the late endosomal compartment (exosomes) or bud from the plasma membrane (microvesicles). They contain proteins, lipids, and nucleic acids—namely miRNA, but also mRNA and lncRNA—which are derived from the parental cell, and have been retrieved in every fluid of the body. As carriers of antigens, either alone or in association with major histocompatibility complex (MHC) class II and class I molecules, their immunomodulatory properties have been extensively investigated. Moreover, recent studies have shown that EVs may carry and deliver membrane-derived bioactive lipids that play an important function in the immune system and related pathologies, such as prostaglandins, leukotrienes, specialized pro-resolving mediators, and lysophospholipids. EVs protect bioactive lipids from degradation and play a role in the transcellular synthesis of prostaglandins and leukotrienes. Here, we summarized the role of EVs in the regulation of immune response, specifically focusing our attention on the emerging role of EVs as carriers of bioactive lipids, which is important for immune system function.