Introduction There is a need for a rapid, accurate, less-invasive approach to distinguishing malignant from benign pleural effusions. We investigated the diagnostic value of five pleural tumor markers in exudative pleural effusions. Methods By immunochemiluminescence assay, we measured pleural concentrations of tumor markers. We used the receiver operating characteristic curve analysis to assess their diagnostic values. Results A total of 281 patients were enrolled. All tumor markers were significantly higher in malignant pleural effusions than benign ones. The area under the curve of carcinoembryonic antigen (CEA), carbohydrate antigen (CA) 15-3, cytokeratin fragment 19 (CYFRA) 21-1, CA-19-9, and CA-125 were 0.81, 0.78, 0.75, 0.65, and 0.65, respectively. Combined markers of CEA + CA-15-3 and CEA + CA-15-3 + CYFRA 21-1 had a sensitivity of 87% and 94%, and specificity of 75% and 58%, respectively. We designed a diagnostic algorithm by combining pleural cytology with pleural tumor marker assay. CEA + CYFRA 21-1 + CA-19-9 + CA-15-3 was the best tumor markers panel detecting 96% of cytologically negative malignant pleural effusions, with a negative predictive value of 98%. Conclusions Although cytology is specific enough, it has less sensitivity in identifying malignant pleural fluids. As a result, the main gap is detecting malignant pleural effusions with negative cytology. CEA was the best single marker, followed by CA-15-3 and CYFRA 21-1. Through both cytology and suggested panels of tumor markers, malignant and benign pleural effusions could be truly diagnosed with an accuracy of about 98% without the need for more invasive procedures, except for the cohort with negative cytology and a positive tumor markers panel, which require more investigations.