Extracellular vesicles (EVs) are a heterogeneous population of secreted membrane vesicles, with distinct biogenesis routes, biophysical properties and different functions both in physiological conditions and in disease. The release of EVs is a widespread biological process, which is conserved across species. In recent years, numerous studies have demonstrated that several bioactive molecules are trafficked with(in) EVs, such as microRNAs, mRNAs, proteins and lipids. The understanding of their final impact on the biology of specific target cells remains matter of intense debate in the field. Also, EVs have attracted great interest as potential novel cell-free therapeutics. Here we describe the proposed physiological and pathological functions of EVs, with a particular focus on their molecular content. Also, we discuss the advances in the knowledge of the mechanisms regulating the secretion of EV-associated molecules and the specific pathways activated upon interaction with the target cell, highlighting the role of EVs in the context of the immune system and as mediators of the intercellular signalling in the brain.