Exosomes are nanoscale extracellular vesicles secreted by cells, which can release bioactive macromolecules, such as microRNA (miRNA) to receptor cells. Exosomes can efficiently penetrate various biological barriers which mediate intercellular communication. MiRNA are a class of non-coding RNA that primarily regulate messenger RNA (mRNA) at the post-transcriptional level. MiRNA is abundant in exosomes, which plays an important role by being transported and released through exosomes secreted by lung cancer cells. This review aims to elucidate the roles of exosome-derived miRNAs in lung cancer. We focused on the roles of exosome-derived miRNAs in cancer occurrence and development, including angiogenesis, cell proliferation, invasion, metastasis, immune escape, drug resistance, and their clinical value as new diagnostic and prognostic markers for lung cancer. Exosomal miRNA can not only affect angiogenesis of lung cancer, induce epithelial-mesenchymal transformation, and promote reprogramming of tumor microenvironment, but also affect immune regulation and drug resistance transmission and participate in regulating lung cancer cell proliferation. Therefore, understanding the regulatory roles of exosomal miRNAs in tumor invasion and metastasis can provide new ideas for the treatment of lung cancer. Exosomal miRNA can provide some unique ideas on how to improve the efficiency of diagnosis and treatment of lung cancer in the future. Targeting tumor-specific exosomal miRNA represents a new strategy for clinical treatment of lung cancer, which can provide potential non-invasive biomarkers in the early diagnosis of lung cancer. Investigation of the involvement of exosomal miRNAs in the occurrence and progression of tumors can yield new opportunities for the clinical diagnosis and treatment of lung cancer.