Prostate cancer is one of the most common malignancies in men. Over time, it can metastasize and become lethal once it exhausts hormonal therapies and transitions into castration-resistant prostate cancer (CRPC). Several therapies have been recently approved for advanced prostate cancer, but identifying biomarkers for current treatments and searching for more effective treatments are urgently needed. Liquid biopsy is a powerful tool for isolating genetic material, proteins, and whole tumor cells from the blood. In recent decades, this technology has rapidly advanced, allowing for better insights into the pathogenesis and treatment response in different stages of prostate cancer. In this review, we summarize important clinical studies involving liquid biopsies in prostate cancer with a focus on advanced disease, notably regarding circulating tumor DNA, circulating tumor cells, and exosomes. We highlight the progress and the challenges that still exist for these technologies. Finally, we discuss promising avenues that will further expand the importance of liquid biopsy in the care for prostate cancer patients.