Clinically, it is difficult to efficaciously screen and diagnose osteosarcoma (OS) in advance due to the low sensitivity and poor specificity of the existing tumor markers. Exosomes (Exos) are nanoscale vesicles containing RNAs, lipids, and proteins with a diameter of 30–100 nm. They are multivesicular bodies formed during the invagination of lysosomal particles in cells and released extracellularly after fusing with cell membranes. Besides, Exos are important carriers of cell‐to‐cell communication signals and genetic materials in the tumor microenvironment. During tumorigenesis, the tumor cells interplay with immune cells, endothelial cells, and related fibroblasts through Exos and boost cancer development. After altering the surrounding microenvironment, the Exos drive tumor cells to proliferate, speed up angiogenesis, and boost cancers to develop along with body fluid transportation. Currently, Exos are becoming novel noninvasive tumor diagnostic markers with high sensitivity, exerting pivotal impacts in fundamental research and clinical applications. Here, we review the existing literature on the roles of exosomal noncoding RNAs in OS progression and their potential clinical applications as novel biomarkers and therapeutics.