In addition to direct cell-to-cell contact, dendritic cells (DCs) can regulate the onset of adaptive immunity through the secretion of nano-sized membrane structures, called extracellular vesicles (EVs). This novel mode of communication between cells has added a new layer of complexity to the regulation of immune responses. DCs secrete into their environment different types of EVs containing immunomodulatory molecules that have distinct structural and biochemical properties depending on their intracellular site of origin. Exosomes are generated inside multivesicular bodies and are secreted when these compartments fuse with the plasma membrane, whereas microvesicles are formed and released by budding from the cells' plasma membrane. Once outside the cell of origin, these vesicles can reach target cells through membrane receptor-ligand interactions, modifying their physiological state by the transfer of the EV content or by triggering cell signaling at the cells' surface. Particularly, EVs released by DCs contain major histocompatibility complex (MHC) class I and class II molecules able to activate cognate T cells and promote humoral responses. These activities motivated the use of DC-derived EVs in the treatment of cancer, infectious diseases and autoimmune disorders. The therapeutic potential of these vesicles led to the use of EVs from tumor antigen-loaded DCs in cancer clinical trials, although with limited clinical effects. In this review we will focus on the different EVs released by DCs, their composition and biogenesis, together with their proposed functions as immune regulators.