Sarcoma is a heterogeneous group of mesenchymal neoplasms with a high rate of lung metastasis. The cellular mechanisms responsible for sarcoma metastasis remain poorly understood. Furthermore, there are limited efficacious therapeutic strategies for treating metastatic sarcoma. Improved diagnostic and therapeutic modalities are of increasing importance for the treatment of sarcoma due to their high mortality in the advanced stages of the disease. Recent evidence demonstrates that the exosome, a type of extracellular vesicle released by virtually all cells in the body, is an important facilitator of intercellular communication between the cells and the surrounding environment. The exosome is gaining significant attention among the medical research community, but there is little knowledge about how the exosome affects sarcoma metastasis. In this review, we summarize the multifaceted roles of sarcoma-derived exosomes in promoting the process of metastasis via the formation of pre-metastatic niche (PMN), the regulation of immunity, angiogenesis, vascular permeability, and the migration of sarcoma cells. We also highlight the potential of exosomes as innovative diagnostic and prognostic biomarkers as well as therapeutic targets in sarcoma metastasis.