Exosomes are extracellular vesicles secreted by almost all cell types that can function as a cell-to-cell carrier of information, providing pleiotropic functions in intercellular communication. Exosomes can transport various biomolecules, including proteins and nucleic acids, into recipient cells. The review analyzed the current data on the role of exosomes and the possibility of using exosomal microRNAs as a biomarker in the diagnosis of lung cancer. MicroRNAs can act as oncogenes or tumor suppressors, so they can regulate the expression of genes that play an important role in oncogenesis. At the moment, microRNAs of exosomes are one of the main candidates for the role of molecular markers in liquid biopsy for the diagnosis of oncological diseases. The review analyzes the diagnostic potential of the use of exosomes in carcinogenesis in general, with an emphasis on the use of exosomal microRNAs as biomarkers of lung cancer.