Ultradeformable vesicles (UDV) have recently become a promising tool for the development of improved and innovative dermal and transdermal therapies. The aim of this work was to study three related UDV: transfersomes, ethosomes, and transethosomes for the incorporation of actives of distinct polarities, namely, vitamin E and caffeine, and to evaluate the effect of the carrier on skin permeation and penetration. These actives were incorporated in UDV formulations further characterized for vesicles imaging by transmission electron microscopy; mean vesicle size and polydispersity index by photon correlation spectroscopy; zeta potential by laser-Doppler anemometry; deformability by pressure-driven transport; and incorporation efficiency (IE) after actives quantification by high-performance liquid chromatography. Topical delivery studies were performed in order to compare UDV formulations regarding the release, skin permeation, and penetration profiles. All UDV formulations showed size values within the expected range, except transethosomes prepared by "transfersomal method", for which size was smaller than 100 nm in contrast to that obtained for vesicles prepared by "ethosomal method". Zeta potential was negative and higher for formulations containing sodium cholate. The IE was much higher for vitamin E- than caffeine-loaded UDV as expected. For flux measurements, the following order was obtained: transethosomes (TE) > ethosomes (E) ≥ transfersomes (T). This result was consistent with the release and skin penetration profiles for Vitamin E-loaded UDV. However, the releasing results were totally the opposite for caffeine-loaded UDV, which might be explained by the solubility and thermodynamic activity of this active in each formulation instead of the UDV deformability attending to the higher non-incorporated fraction of caffeine. Anyway, a high skin penetration and permeation for all caffeine-loaded UDV were obtained. Transethosomes were more deformable than ethosomes and transfersomes due to the presence of both ethanol and surfactant in their composition. All these UDV were suitable for a deeper skin penetration, especially transethosomes.