Bone sarcomas are rare cancers which often present with metastatic disease and are still associated with poor survival rates. Studies in the last decade have identified that exosomes, a type of extracellular vesicle released by cells, play an important role in tumour progression and dissemination. Through the transfer of their cargo (RNAs, proteins, and lipids) across cells, they are involved in cellular cross-talk and can induce changes in cellular behaviour. Exosomes have been shown to be important in metastasis organotropism, induction of angiogenesis and vascular permeability, the education of cells towards a pro-metastatic phenotype or the interaction between stromal and tumour cells. Due to the importance exosomes have in disease progression and the high incidence of metastasis in bone sarcomas, recent studies have evaluated the implications of these extracellular vesicles in bone sarcomas. In this review, we discuss the studies that evaluate the role of exosomes in osteosarcoma, Ewing sarcoma, and preliminary data on chondrosarcoma.