Exosomes actively secreted by prostate cancer cells are mediators of signal transduction between prostate tumor cells and mesenchymal cells, and they can promote the progress of prostate cancer by altering the microenvironment of primary tumors and metastasis tumors. In particular, exosomes participate in various molecular events related to prostate cancer progress by carrying bioactive molecules, such as RNAs and proteins. Therefore, exosomes and their carrying molecules are expected to be novel biomarkers for predicting the progress of prostate cancer and therapeutic targets of prostate cancer. In recent years, there are many researches in the field of prostate cancer-derived exosomes which have shown great values in predicting and preventing the progress of prostate cancer, and this review sums up the current advances.