Malignant pleural effusions (MPEs) often develop in advanced cancer patients and confer significant morbidity and mortality. In this review, we evaluated whether molecular profiling of MPEs with next generation sequencing (NGS) could have a role in cancer management, focusing on lung cancer. We reviewed and compared the diagnostic performance of pleural fluid liquid biopsy with other types of samples. When applied in MPEs, NGS may have comparable performance with corresponding tissue biopsies, yield higher DNA amount, and detect more genetic aberrations than blood-derived liquid biopsies. NGS in MPEs may also be preferable to plasma liquid biopsy in advanced cancer patients with a MPE and a paucicellular or it could be difficult to obtain tissue/fine-needle aspiration biopsy. Of interest, post-centrifuge supernatant NGS may exhibit superior results compared to cell pellet, cell block or other materials. NGS in MPEs can also guide clinicians in tailoring established therapies and identifying therapy resistance. Evidence is still premature regarding the role of NGS in MPEs from patients with cancers other than lung. We concluded that MPE processing could provide useful prognostic and theranostic information, besides its diagnostic role.