Early detection of primary bladder cancer (BCa) is vital, because stage and grade have been generally accepted not only as categorical but also as prognostic factors in patients with BCa. The widely accepted screening methods for BCa, cystoscopy and urine cytology, have unsatisfactory diagnostic accuracy, with high rates of false negatives, especially for flat-type BCa with cystoscopy and for low-risk disease with urine cytology. Currently, liquid biopsy has attracted much attention as being compensatory for that limited diagnostic power. In this review, we survey the literature on liquid biopsy for the detection of BCa, focusing on circulating tumor cells (CTCs), urinary cell-free DNA (ucfDNA), and urinary microRNA (umiRNA). In diagnostic terms, CTCs and umiRNA are determined by quantitative analysis, and ucfDNA relies on finding genetic and epigenetic changes. The ideal biomarkers should be highly sensitive in detecting BCa. Currently, CTCs produce an unfavorable result; however, umiRNA and ucfDNA, especially when analyzed using a panel of genes, produce promising results. However, given the small cohort size in most studies, no conclusions can yet be drawn about liquid biopsy’s immediate application to clinical practice. Further large studies to validate the diagnostic value of liquid biopsy for clinical use are mandatory.