Phospholipid vesicles of less than 1 μm are present in blood in physiological state and their concentration may vary under pathological conditions. Various names such as exosomes (EXS) and microparticles (MPS) have been used to designate these extracellular vesicles (EVS). Although EXs and MPS possibly arise from separate mechanisms, they share numerous similarities representing a challenge for their purification and characterization. These vesicles generally originate from various types of cells such as red blood cells, platelets, leukocytes or endothelial cells but also from tumor cells. They participate in numerous biological processes including hemostasis. It is therefore of major scientific interest to characterize the protein content of these different types of EVS and that of their membranes in order to elucidate the essential functions of these dynamic vesicular compartments. Proteomics has been shown to be a particularly adequate tool in this study field. This review attempts to link proteomic data with physiological roles and functions of blood EVS.