Thyroid cancer has become more common in recent years all around the world. Many issues still need to be urgently addressed in the diagnosis, treatment, and prognosis of thyroid cancer. Liquid biopsy (mainly circulating tumor DNA (ctDNA), circulating tumor cells (CTCs), and circulating exosomes) may provide a novel and ideal approach to solve these issues, allows us to assess the features of diseases more comprehensively, and has a function in a variety of malignancies. Recently, liquid biopsy has been shown to be critical in thyroid cancer diagnosis, treatment, and prognosis in numerous previous studies. In this review, by testing CTCs, ctDNA, and exosomes, we focus on the possible clinical role of liquid biopsy in thyroid cancer, including diagnostic and prognostic biomarkers and response to therapy. We briefly review how liquid biopsy components have progressed in thyroid cancer by consulting the existing public information. We also discuss the clinical potential of liquid biopsy in thyroid cancer and provide a reference for liquid biopsy research. Liquid biopsy has the potential to be a useful tool in the early detection, monitoring, or prediction of response to therapies and prognosis in thyroid cancer, with promising clinical applications.