Bovine milk-derived extracellular vesicles (EVs) have been proved to have positive effects on innate immunity and intestinal health. However, the effect of different processing treatments on the biological function of EVs in dairy products remains unclear. Thus, we explored the immunomodulatory function of EVs from different dairy products (pasteurized milk, UHT milk, freeze-dried powder and organic milk powder) by constructing the RAW264.7 cell model, the most commonly used in vitro model to study immune responses and screen for anti-inflammatory active substances. The results showed that EVs from different dairy products had similar bidirectional immunomodulatory effects to EVs from raw milk, which not only promoted the normal macrophage proliferation and increased NO and cytokine (IL-1β, IL-6 and TNF-α) levels, but also inhibited the lipopolysaccharide (LPS)-induced TLR4/NF-κB pathway and inflammatory cytokines. In particular, EVs from different dairy products also could regulate the expression of immune-related miR-155, miR-223 and miR-181a, which were involved in the anti-infection response. Although the immunomodulatory effects of EVs in the pasteurized milk and freeze-dried powder groups were lower than that of the raw milk group, they were superior to the UHT milk group and significantly higher than the organic milk powder group. Therefore, we hypothesize that pasteurization and freeze-drying treatments might have less effect on the physiological activity of EVs, making the potential health benefits of the corresponding products superior to those of other dairy products.