Osteosarcoma is a highly invasive kind of malignant bone tumor. Exosomes are a type of extracellular vesicles that play an important role in intercellular communication in the microenvironment. Tumor cell progression is promoted through the interaction between exosomes and cells in the microenvironment (including immune cells, mesenchymal cells, and endothelial cells) during tumor development. Neoplastic exosomes can carry a variety of biological information molecules, such as proteins, lipids, and nucleic acids. These molecules play an important clinical role, not only being able domesticate the recipient cells but also being recognized as tumor specific markers. At the same time, exosomes secreted by osteosarcoma can also cooperate with antigen-presenting cells to activate the body's immune response and then to exert anti-tumor effects. Studies on exosomes may be a breakthrough in the search for a new osteosarcoma treatment. In this study, we review the role of neoplastic exosomes in the osteosarcoma microenvironment, summarize their potential as tumor markers, and investigate their clinical application prospects.