Bladder cancer is the most common malignancy of the urinary tract worldwide. The therapeutic options to tackle this disease comprise surgery, intravesical or systemic chemotherapy, and immunotherapy. Unfortunately, a wide number of patients ultimately become resistant to these treatments and develop aggressive metastatic disease, presenting a poor prognosis. Therefore, the identification of novel therapeutic approaches to tackle this devastating pathology is urgently needed. However, a significant limitation is that the progression and drug response of bladder cancer is strongly associated with its intrinsic molecular heterogeneity. In this sense, RNA splicing is recently gaining importance as a critical hallmark of cancer since can have a significant clinical value. In fact, a profound dysregulation of the splicing process has been reported in bladder cancer, especially in the expression of certain key splicing variants and circular RNAs with a potential clinical value as diagnostic/prognostic biomarkers or therapeutic targets in this pathology. Indeed, some authors have already evidenced a profound antitumor effect by targeting some splicing factors (e.g., PTBP1), mRNA splicing variants (e.g., PKM2, HYAL4-v1), and circular RNAs (e.g., circITCH, circMYLK), which illustrates new possibilities to significantly improve the management of this pathology. This review represents the first detailed overview of the splicing process and its alterations in bladder cancer, and highlights opportunities for the development of novel diagnostic/prognostic biomarkers and their clinical potential for the treatment of this devastating cancer type.