The response to neoadjuvant chemoradiation (nCRT) is a critical step in the management of locally advanced rectal cancer (LARC) patients. Only a minority of LARC patients responds completely to neoadjuvant treatments, thus avoiding invasive radical surgical resection. Moreover, toxic side effects can adversely affect patients’ survival. The difficulty in separating in advances responder from non-responder patients affected by LARC highlights the need for valid biomarkers that guide clinical decision-making. In this context, microRNAs (miRNAs) seem to be promising candidates for predicting LARC prognosis and/or therapy response, particularly due to their stability, facile detection, and disease-specific expression in human tissues, blood, serum, or urine. Although a considerable number of studies involving potential miRNA predictors to nCRT have been conducted over the years, to date, the identification of the perfect miRNA signatures or single miRNA, as well as their use in the clinical practice, is still representing a challenge for the management of LARC patients. In this review, we will first introduce LARC and its difficult management. Then, we will trace the scientific history and the key obstacles for the identification of specific miRNAs that predict responsiveness to nCRT. There is a high potential to identify non-invasive biomarkers that circulate in the human bloodstream and that might indicate the LARC patients who benefit from the watch-and-wait approach. For this, we will critically evaluate recent advances dealing with cell-free nucleic acids including miRNAs and circulating tumor cells as prognostic or predictive biomarkers.