Lung infections are one of the most common causes of death and morbidity worldwide. Both bacterial and viral lung infections cause a vast number of infections with varying severities. Extracellular vesicles (EVs) produced by different cells due to infection in the lung have the ability to modify the immune system, leading to either better immune response or worsening of the disease. It has been shown that both bacteria and viruses have the ability to produce their EVs and stimulate the immune system for that. In this review, we investigate topics from EV biogenesis and types of EVs to lung bacterial and viral infections caused by various bacterial species. Mycobacterium tuberculosis, Staphylococcus aureus, and Streptococcus pneumoniae infections are covered intensively in this review. Moreover, various viral lung infections, including SARS-CoV-2 infections, have been depicted extensively. In this review, we focus on eukaryotic-cell-derived EVs as an important component of disease pathogenesis. Finally, this review holds high novelty in its findings and literature review. It represents the first time to cover all different information on immune-cell-derived EVs in both bacterial and viral lung infections.