Exosomes are extracellular vesicles, enriched in biomolecular cargo consisting of nucleic acids, proteins, and lipids, which take part in intercellular communication and play a crucial role in both physiologic functions and oncogenesis. Bladder cancer is the most common urinary malignancy and its incidence is steadily rising in developed countries. Despite the high five-year survival in patients diagnosed at early disease stage, survival substantially drops in patients with muscle-invasive or metastatic disease. Therefore, early detection of primary disease as well as recurrence is of paramount importance. The role that exosomal biomarkers could play in bladder cancer patient diagnosis and surveillance, as well as their potential therapeutic applications, has not been extensively studied in this malignancy. In the present review, we summarize all relevant data obtained so far from cell lines, animal models, and patient biofluids and tissues. Current literature suggests that urine is a rich source of extracellular vesicle-derived biomarkers, compared with blood and bladder tissue samples, with potential applications in bladder cancer management. Further studies improving sample collection procedures and optimizing purification and analytical methods should augment bladder cancer diagnostic, prognostic, and therapeutic input of extracellular vesicles biomarkers in the future.