Parasite-host cell interaction can be modulated by a dynamic communication between extracellular vesicles (EVs). They should play key roles in cell-cell communications transferring biomolecules (miRNA, proteins, soluble factors) from one cell to another cell. While many names have been used to denominate EVs, a better comprehension to understand these vesicles is raised when we classify it according to biogenesis: originated from multivesicular bodies, named exosomes, and from plasmatic membranes, denominated microvesicles. Here, we have reviewed EV participation during the protozoan-host cell interaction and reinforced the differences and similarities between exosomes and microvesicles, suggesting different intracellular routes and functions. We also discussed perspectives to study EVs and the role of EVs in diagnosis and chemotherapies of infectious diseases.