Exosomes are nanometer-sized vesicles that contain various types of biologically active components, including proteins, nucleic acids, carbohydrates, and lipids, which vary with the type and physiological state of the cell. In recent years, several studies have showed that exosomes can provide new non-invasive diagnostic and prognostic biomarkers in patients affected by cancers, including bladder cancer (BC), and the lipid bilayer membrane structure makes exosomes as promising delivery vehicles for therapeutic applications. Exosomes have the characteristics of high abundance, high stability, tissue specificity, and wide distribution in body fluids, and are secreted as various types by cells in different states, thereby possessing great potential as biomarkers for BC. Herein, we briefly summarize the functions and roles of exosomes in the occurrence and development of BC and the current progress of research on exosomes in BC, while focusing on potential clinical applications of the diagnosis, treatment, and prognosis of BC.