Liquid biopsy is a revolutionary strategy in cancer diagnosis and prognosis prediction, which is used to analyze cancer cells or cancer-derived products through biofluids such as blood, urine and so on. Exosomes play a crucial role in mediating cell communication. A growing number of studies have reported that exosomes are involved in tumorigenesis, tumor growth, metastasis and drug resistance by delivering cargos including nucleic acids and protein. Thus, exosomes, as a new type of liquid biopsy, have the potential to be diagnostic or prognostic biomarkers. Herein, we elaborate on the current methods and introduce novel techniques for exosome isolation and characterization. Moreover, we elucidate the advantages of exosomes compared to other biological components in liquid biopsy and summarize the different exosomal biomarkers in cancer diagnosis and prognosis prediction.