Let be a finite group and let be a subset of such that and . The conjugacy graph has vertex set and two vertices are adjacent in if and only if there exists with . The components of a conjugacy graph partition the vertices into conjugacy classes (with respect to ) of the group. Sufficient conditions for a conjugacy graph to have either vertex-transitive or arc-transitive components are provided. It is also shown that every Cayley graph is the component of some conjugacy graph.