Cutaneous melanoma shows a high metastatic potential based on its ability to overcome the immune system’s control. The mechanisms activated for these functions vary extremely and are also represented by the production of a number of extracellular vesicles including exosomes. Other vesicles showing a potential role in the melanoma progression include oncosomes and melanosomes and the majority of them mediate tumor processes including angiogenesis, immune regulation, and modifications of the micro-environment. Moreover, a number of epigenetic modifications have been described in melanoma and abundant production of altered microRNAs (mi-RNAs), non-coding RNAs, histones, and abnormal DNA methylation have been associated with different phases of melanoma progression. In addition, exosomes, miRNAs, and other molecular factors have been used as potential biomarkers reflecting disease evolution while others have been suggested to be potential druggable molecules for therapeutic application.