Sepsis is defined as a life-threatening organ dysfunction caused by a dysregulated host response to an infection. Several studies on mouse and patient sepsis samples have revealed that the level of extracellular vesicles (EVs) in the blood is altered compared to healthy controls, but the different functions of EVs during sepsis pathology are not yet completely understood. Sepsis EVs are described as modulators of inflammation, lymphocyte apoptosis, coagulation and organ dysfunction. Furthermore, EVs can influence clinical outcome and it is suggested that EVs can predict survival. Both detrimental and beneficial roles for EVs have been described in sepsis, depending on the EV cellular source and the disease phase during which the EVs are studied. In this review, we summarize the current knowledge of EV sources and functions during sepsis pathology based on in vitro and mouse models, as well as patient samples.