Lung cancer is one of the most lethal forms of cancer, with a very high mortality rate. The precise pathophysiology of lung cancer is not well understood, and pertinent information regarding the initiation and progression of lung cancer is currently a crucial area of scientific investigation. Enhanced knowledge about the disease will lead to the development of potent therapeutic interventions. Extracellular vesicles (EVs) are membrane-bound heterogeneous populations of cellular entities that are abundantly produced by all cells in the human body, including the tumor cells. A defined class of EVs called small Extracellular Vesicles (sEVs or exosomes) carries key biomolecules such as RNA, DNA, Proteins and Lipids. Exosomes, therefore, mediate physiological activities and intracellular communication between various cells, including constituent cells of the tumor microenvironment, namely stromal cells, immunological cells, and tumor cells. In recent years, a surge in studying tumor-associated non-coding RNAs (ncRNAs) has been observed. Subsequently, studies have also reported that exosomes abundantly carry different species of ncRNAs and these exosomal ncRNAs are functionally involved in cancer initiation and progression. Here, we discuss the function of exosomal ncRNAs, such as miRNAs and long non-coding RNAs, in the pathophysiology of lung tumors. Further, the future application of exosomal-ncRNAs in clinics as biomarkers and therapeutic targets in lung cancer is also discussed due to the multifaceted influence of exosomes on cellular physiology.