Exosomes are a subset of extracellular vesicles released by all cell types and involved in local and systemic intercellular communication. In the past decade, research into exosomes has swelled as their important role in the mediation of health and disease has been increasingly established and acknowledged. Exosomes carry a diverse range of cargo including proteins, nucleic acids, and lipids derived from their parental cell that, when delivered to the recipient cell, can confer pathogenic or therapeutic effects through modulation of immunity and inflammation. In this review, the role of exosomes on mediation of immune and inflammatory responses, and their participation in diseases with a significant inflammatory component is discussed. The considerable potential for exosomes in therapy and diagnosis of inflammatory diseases is also highlighted.