Extracellular vesicles (EVs), such as exosomes and microvesicles, play an important autocrine/paracrine role in intercellular communication. Details on the involvement of EVs in the pathogenesis of lung diseases have emerged over the past several years. Moreover, EVs package numerous DNA, proteins, mRNAs, and microRNAs that can regulate immune responses in recipient cells. Almost all respiratory cells release EVs, and these EVs can have protective or detrimental functions, depending on the type of donor cells, type of stimuli, and components. In lung cancer, tumor-derived EVs carry multiple immunoinhibitory signals, disable antitumor immune effector cells, and promote tumor escape from immune control. Furthermore, bacteria- and microbiota-derived EVs can shape the immune system and lead to the development of lung disease. These EVs are capable of maintaining airway homeostasis, inducing proinflammatory effects, and promoting antigen presentation, thus regulating lung inflammation and immune responses. From these viewpoints, we summarize recent findings on EVs in lung biology and immunity. EVs provide a new avenue for understanding the mechanism of inflammatory disease progression and for developing therapeutic approaches for lung immune responses.