Thyroid cancer is the most common malignancy of the endocrine system, encompassing different entities with distinct histological features and clinical behavior. The diagnostic definition, therapeutic approach, and follow-up of thyroid cancers display some controversial aspects that represent unmet medical needs. Liquid biopsy is a non-invasive approach that detects and analyzes biological samples released from the tumor into the bloodstream. With the use of different technologies, tumor cells, free nucleic acids, and extracellular vesicles can be retrieved in the serum of cancer patients and valuable molecular information can be obtained. Recently, a growing body of evidence is accumulating concerning the use of liquid biopsy in thyroid cancer, as it can be exploited to define a patient’s diagnosis, estimate their prognosis, and monitor tumor recurrence or treatment response. Indeed, liquid biopsy can be a valuable tool to overcome the limits of conventional management of thyroid malignancies. In this review, we summarize currently available data about liquid biopsy in differentiated, poorly differentiated/anaplastic, and medullary thyroid cancer, focusing on circulating tumor cells, circulating free nucleic acids, and extracellular vesicles.