Parasitic diseases affect billions of people and are considered a major public health issue. Close to 400 species are estimated to parasitize humans, of which around 90 are responsible for great clinical burden and mortality rates. Unfortunately, they are largely neglected as they are mainly endemic to poor regions. Of relevance to this review, there is accumulating evidence of the release of extracellular vesicles (EVs) in parasitic diseases, acting both in parasite–parasite inter-communication as well as in parasite–host interactions. EVs participate in the dissemination of the pathogen and play a role in the regulation of the host immune systems. Production of EVs from parasites or parasitized cells has been described for a number of parasitic infections. In this review, we provide the most relevant findings of the involvement of EVs in intercellular communication, modulation of immune responses, involvement in pathology, and their potential as new diagnostic tools and therapeutic agents in some of the major human parasitic pathogens.