Extracellular vesicles (EVs), such as exosomes, are critical mediators of intercellular communication between tumor cells and other cells located in the microenvironment but also in more distant sites. Exosomes are small EVs that can carry a variety of molecules, such as lipids, proteins, and non-coding RNA, especially microRNAs (miRNAs). In thoracic cancers, including lung cancers and malignant pleural mesothelioma, EVs contribute to the immune-suppressive tumor microenvironment and to tumor growth and metastasis. In this review, we discuss the recent understanding of how exosomes behave in thoracic cancers and how and why they are promising liquid biomarkers for diagnosis, prognosis, and therapy, with a special focus on exosomal miRNAs.