Osteosarcoma (OS) is a primary malignant bone tumor with high metastasis. Poor prognosis highlights a clinical need for novel therapeutic strategies. Exosomes, also known as extracellular vesicles, have been identified as essential players in the modulation of cancer. Recent studies have suggested that OS-derived exosomes can drive pro-tumorigenic or anti-tumorigenic phenotypes by transferring specific cargos, including proteins, nucleic acids, and metabolites, to neighboring cells, significantly impacting the regulation of cellular processes. This review discusses the advancement of exosomes and their cargos in OS. We examine how these exosomes contribute to the modulation of cellular phenotypes associated with tumor progression and metastasis. Furthermore, we explore the potential of exosomes as valuable biomarkers for diagnostics and prognostic purposes and their role in shaping innovative therapeutic strategies in OS treatment development.