Emerging evidence indicates that activation of microglia, the immune cells of the brain, is strictly associated to both secretion of soluble molecules and release of extracellular membrane vesicles (EMVs) into the pericellular space. Through these processes, microglia heavily influence brain cell functions, either propagating inflammation and causing damage to neurons or playing a supportive, neuroprotective role. In this review, we highlight the emerging concepts related to vesicular mechanisms of secretion operating in microglial cells, with the aim of dissecting how microglia communicate with other cell types within the brain microenvironment in health and disease.