Liquid biopsy offers non‐invasive and real‐time molecular profiling of individual patients, and is thus considered a revolutionary technology in precision medicine. Exosomes have been acknowledged as significant biomarkers in liquid biopsy, as they play a central role in cell–cell communication and are closely related to the pathogenesis of most human malignancies. Nevertheless, in biofluids exosomes always co‐exist with other particles, and the cargo components of exosomes are highly heterogeneous. Thus, the isolation and molecular characterization of exosomes are still technically challenging. Microfluidics technology effectively addresses this challenge by virtue of its inherent advantages, such as precise manipulation of fluids, low consumption of samples and reagents, and a high level of integration. Recent advances in microfluidics allow in situ exosome capture and molecular detection with unprecedented selectivity and sensitivity. In this review, the state‐of‐the‐art developments in microfluidics‐based exosome research, including exosome isolation approaches and molecular detection strategies, with highlights of the characterization of exosomal biomarkers in cancer liquid biopsy is summarized. The major challenges are also discussed and some perspectives for the future directions of exosome‐based liquid biopsy in microfluidic systems are presented.