Exosomes are nanoscale extracellular vesicles secreted by cells, which mediate cell-to-cell communication by releasing their biologically active molecules, such as microRNAs (miRNAs), into recipient cells. MiRNAs, a class of non-coding RNAs which mainly negatively regulate their target mRNAs at the post-transcriptional level, are the most abundant nucleic acids in exosomes. In lung cancer, miRNAs play a vital role after their release by exosomes secreted by tumor cells. This review mainly focuses on the role of exosomal miRNAs in multistep development of lung cancer, including angiogenesis, cell proliferation, invasion and metastasis, immune escape, drug resistance, as well as their clinical value as a new biomarker for the diagnosis and prognosis of lung cancer.