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Different types of shed vesicles as, for example, exosomes, plasma-membrane-derived vesicles or microparticles, are the focus of intense research in view of their potential role in cell–cell communication and under the perspective that they might be good tools for immunotherapy, vaccination or diagnostic purposes. This review discusses ways employed by pathogenic trypanosomatids to interact with the host by shedding vesicles that contain molecules important for the establishment of infection, as opposed to previous beliefs considering them as a waste of cellular metabolism. Trypanosomatids are compared with Apicomplexa, which circulate parasite antigens bound to vesicles shed by host cells. The knowledge of the origin and chemical composition of these different vesicles might lead to the understanding of the mechanisms that determine their biological function.