Mast cells are major effector cells in eliciting allergic responses. They also play a significant role in establishing innate and adaptive immune responses, as well as in modulating tumor growth. Mast cells can be activated upon engagement of the high-affinity receptor FcεRI with specific IgE to multivalent antigens or in response to several FcεRI-independent mechanisms. Upon stimulation, mast cells secrete various preformed and newly synthesized mediators. Emerging evidence indicates their ability to be a rich source of secreted extracellular vesicles (EVs), including exosomes and microvesicles, which convey biological functions. Mast cell-derived EVs can interact with and affect other cells located nearby or at distant sites and modulate inflammation, allergic response, and tumor progression. Mast cells are also affected by EVs derived from other cells in the immune system or in the tumor microenvironment, which may activate mast cells to release different mediators. In this review, we summarize the latest data regarding the ability of mast cells to release or respond to EVs and their role in allergic responses, inflammation, and tumor progression. Understanding the release, composition, and uptake of EVs by cells located near to or at sites distant from mast cells in a variety of clinical conditions, such as allergic inflammation, mastocytosis, and lung cancer will contribute to developing novel therapeutic approaches.