Exosomes are nanovesicles that have emerged as a new intercellular communication system between an intracellular compartment of a donor cell towards the periphery or an internal compartment of a recipient cell. The bioactivity of exosomes resides not only in their protein and RNA contents but also in their lipidic molecules. Exosomes display original lipids organized in a bilayer membrane and along with the lipid carriers such as fatty acid binding proteins that they contain, exosomes transport bioactive lipids. Exosomes can vectorize lipids such as eicosanoids, fatty acids, and cholesterol, and their lipid composition can be modified by in-vitro manipulation. They also contain lipid related enzymes so that they can constitute an autonomous unit of production of various bioactive lipids. Exosomes can circulate between proximal or distal cells and their fate can be regulated in part by lipidic molecules. Compared to their parental cells, exosomes are enriched in cholesterol and sphingomyelin and their accumulation in cells might modulate recipient cell homeostasis. Exosome release from cells appears to be a general biological process. They have been reported in all biological fluids from which they can be recovered and can be monitors of specific pathophysiological situations. Thus, the lipid content of circulating exosomes could be useful biomarkers of lipid related diseases. Since the first lipid analysis of exosomes ten years ago detailed knowledge of exosomal lipids has accumulated. The role of lipids in exosome fate and bioactivity and how they constitute an additional lipid transport system are considered in this review.