While the behavior of vesicles in thermodynamic equilibrium has been studied extensively, how active forces control vesicle shape transformations is not understood. Here, we combine theory and simulations to study the shape behavior of vesicles containing active Brownian particles. We show that the combination of active forces, dimensionality and membrane bending free energy creates a plethora of novel phase transitions. At low swim pressure, the vesicle exhibits a discontinuous transition from a spherical to a prolate shape, which has no counterpart in two dimensions. At high swim pressure it exhibits stochastic spatio-temporal oscillations. Our work helps to understand and control the shape dynamics of membranes in active-matter systems.