In this paper, we introduce ergodic sets, subsets of nodes of the networks that are dynamically disjoint from the rest of the network (i.e. that can never be reached or left following to the network dynamics). We connect their definition to purely structural considerations of the network and study some of their basic properties. We study numerically the presence of such structures in a number of synthetic network models and in classes of networks from a variety of real-world applications, and we use them to present a compression algorithm that preserve the random walk diffusive dynamics of the original network.