Circulating exosomes are the major mediators of cell–cell communication. They have been found in various body fluids of healthy individuals and patients with malignancies as cargos of several molecules including miRNAs. Several studies have underlined the role of exosome miRNAs in different tumor types, including lung cancer, suggesting their potential use as biomarkers and therapeutic agents. An overview of the biology and function of exosomes and exosome miRNAs as indicators of diagnosis and treatment response in lung cancer is presented. In addition, preliminary data on exosomes as potential therapeutic agents are reported.