Sepsis and COVID-19 patients often manifest an imbalance in inflammation and coagulation, a complex pathological mechanism also named thromboinflammation, which strongly affects patient prognosis. Extracellular vesicles (EVs) are nanoparticles released by cells into extracellular space that have a relevant role in cell-to-cell communication. Recently, EVs have been shown to act as important players in a variety of pathologies, including cancer and cardiovascular disease. The biological properties of EVs in the mechanisms of thromboinflammation during sepsis and COVID-19 are still only partially known. Herein, we summarize the current experimental evidence on the role of EVs in thromboinflammation, both in bacterial sepsis and in COVID-19. A better understanding of EV involvement in these processes could be useful in describing novel diagnostic and therapeutic applications of EVs in these diseases.