Lung cancer is the leading cause of cancer-associated deaths accounting for 24% of all cancer deaths. As a crucial phase of tumor progression, lung cancer metastasis is linked to over 70% of these mortalities. In recent years, exosomes have received increasing research attention in their role in the induction of carcinogenesis and metastasis in the lung. In this review, recent studies on the contribution of exosomes to lung cancer metastasis are discussed, particularly highlighting the role of lung tumor-derived exosomes in immune system evasion, epithelial-mesenchymal transition, and angiogenesis, and their involvement at both the pre-metastatic and metastatic phases. The clinical application of exosomes as therapeutic drug carriers, their role in antitumor drug resistance, and their utility as predictive biomarkers in diagnosis and prognosis are also presented. The metastatic activity, a complex multistep process of cancer cell invasion, survival in blood vessels, attachment and subsequent colonization of the host's organs, is integrated with exosomal effects. Exosomes act as functional mediating factors in cell–cell communication, influencing various steps of the metastatic cascade. To this end, lung cancer cell-derived exosomes enhance cell proliferation, angiogenesis, and metastasis, regulate drug resistance, and antitumor immune activities during lung carcinogenesis, and are currently being explored as an important component in liquid biopsy assessment for diagnosing lung cancer. These nano-sized extracellular vesicles are also being explored as delivery vehicles for therapeutic molecules owing to their unique properties of biocompatibility, circulatory stability, decreased toxicity, and tumor specificity. The current knowledge of the role of exosomes highlights an array of exosome-dependent pathways and cargoes that are ripe for exploiting therapeutic targets to treat lung cancer metastasis, and for predictive value assessment in diagnosis, prognosis, and anti-tumor drug resistance.