In multicellular organisms, communication between cells mainly involves the secretion of proteins that then bind to receptors on neighbouring cells. But another mode of intercellular communication — the release of membrane vesicles — has recently become the subject of increasing interest. Membrane vesicles are complex structures composed of a lipid bilayer that contains transmembrane proteins and encloses soluble hydrophilic components derived from the cytosol of the donor cell. These vesicles have been shown to affect the physiology of neighbouring recipient cells in various ways, from inducing intracellular signalling following binding to receptors to conferring new properties after the acquisition of new receptors, enzymes or even genetic material from the vesicles. This Review focuses on the role of membrane vesicles, in particular exosomes, in the communication between immune cells, and between tumour and immune cells.