We first introduce Euclidean and Riemannian Brownian motions. Then considering Minkowski space, we present the Dudley relativistic diffusion. Finally we construct a family of covariant relativistic diffusions on a generic Lorentz manifold, the quadratic variation of which can be locally determined by the curvature (which allows the interpretation of the diffusion effect on a particle by its interaction with the ambient space-time). Examples are considered, in some classical space-time models: Schwarzschild, Gödel and Robertson-Walker manifolds.