Although appreciable attempts in screening and diagnostic approaches have been achieved, prostate cancer (PCa) remains a widespread malignancy, representing the second leading cause of cancer-related death in men. Drugs currently used in PCa therapy initially show a potent anti-tumor effect, but frequently induce resistance and PCa progresses toward metastatic castration-resistant forms (mCRPC), virtually incurable. Liquid biopsy has emerged as an attractive and promising strategy complementary to invasive tissue biopsy to guide PCa diagnosis and treatment. Liquid biopsy shows the ability to represent the tumor microenvironment, allow comprehensive information and follow-up the progression of the tumor, enabling the development of different treatment strategies as well as permitting the monitoring of therapy response. Liquid biopsy, indeed, is endowed with a significant potential to modify PCa management. Several blood biomarkers could be analyzed for diagnostic, prognostic and predictive purposes, including circulating tumor cells (CTCs), extracellular vesicles (EVs), circulating tumor DNA (ctDNA) and RNA (ctRNA). In addition, several other body fluids may be adopted (i.e., urine, sperm, etc.) beyond blood. This review dissects recent advancements and future perspectives of liquid biopsies, highlighting their strength and weaknesses in PCa management.