Better diagnostic biomarkers and therapeutic options are still necessary for patients with sarcomas due to the current limitations of diagnosis and treatment. Exosomes are small extracellular membrane vesicles that are released by various cells and are found in most body fluids. Tumor-derived exosomes have been proven to mediate tumorigenesis, intercellular communication, microenvironment modulation, and metastasis in different cancers, including in sarcomas. Recently, exosomes have been considered as potential biomarkers for sarcoma diagnosis, prognosis, and possible targets for sarcoma therapy. Moreover, due to their specific cell-tropism and bioavailability, exosomes can also be engineered as vehicles for drug delivery. In this review, we discuss recent advances in the roles of tumor-derived exosomes in sarcoma and their potential clinical applications.