Experimental and epidemiological evidence shows that parasites, particularly helminths, play a central role in balancing the host immunity. It was demonstrated that parasites can modulate immune responses via their excretory/secretory (ES) and some specific proteins. Extracellular vesicles (EVs) are nano-scale particles that are released from eukaryotic and prokaryotic cells. EVs in parasitological studies have been mostly employed for immunotherapy of autoimmune diseases, vaccination, and diagnosis. EVs can carry virulence factors and play a central role in the development of parasites in host cells. These molecules can manipulate the immune responses through transcriptional changes. Moreover, EVs derived from helminths modulate the immune system via provoking anti-inflammatory cytokines. On the other hand, EVs from parasite protozoa can induce efficient immunity, that makes them useful for probable next-generation vaccines. In addition, it seems that EVs from parasites may provide new diagnostic approaches for parasitic infections. In the current study, we reviewed isolation methods, functions, and applications of parasite's EVs in immunotherapy, vaccination, and diagnosis.