Extracellular vesicles (EVs) are membranous structures surrounded by a lipid bilayer required for the export of fungal proteins, lipids, toxins, nucleic acids, pigments, and polysaccharides. Proteomic studies of the content of fungal EVs revealed the presence of molecules involved in cell metabolism, signal transduction, and virulence, among others. EVs are evolutionarily conserved in all three domains of life and play important roles in cell-cell communication. Recently, the bidirectional transport of EVs was characterized through the demonstration that EVs can be released and captured by fungal cells. In fungi, EVs participate in immunomodulation through the delivery of virulence factors, antigens and allergens, but further studies are necessary to investigate their potential roles as carriers of diagnostic biomarkers and in drug delivery or antifungal resistance transmission. In this review, we discuss the roles of fungal EVs and their cargo in cell-cell communication, host-pathogen interactions, and environmental perception. The functions of EVs as vehicles for transporting fungal proteins and virulence factors are also addressed, as well as their use as biomarkers for the diagnosis of diseases and possible participation in antifungal responses.