Malignant bone tumors, one of the most common bone tumors includes osteosarcoma, Ewing's sarcoma, multiple myeloma, and metastatic bone tumors etc. These tumors are often accompanied by distant metastatic lesions at time of diagnosis, leading to low 5-year survival rates. At present, the use of biomarkers for early detection in order to facilitate early treatment are very limited. Therefore, most medical researchers are exploring the roles of exosomes in detecting malignant bone tumors. Exosomes are extracellular microvesicles secreted by different types of cells, which exist in a variety of body fluids. They are new intercellular information carriers that play important physiological roles. Current literature have reported that the RNA contained in exosomes (such as mRNA, miRNAs, lncRNAs and circRNAs) play important roles in the incidence as well as development of malignant bone tumors. However, the previous studies mostly focused on the roles of exosomal RNA in malignant bone tumor diseases, in tumor cell proliferation or apoptosis, transfers, evasion of immune surveillance and chemotherapy drug resistance etc. However, exosomal RNAs may function in the whole process of the disease progression via regulation networks. Our review of existing literature revealed that exosomal RNAs affacted the proliferation, metastasis, immune evasion and drug resistance of five common malignant bone tumors; Osteosarcoma, Ewing sarcoma, Chondrosarcoma, multiple myeloma, and metastatic bone tumors. Therefore, by elucidating on the mechanism of exosomal RNAs in the occurrence and development of malignant bone tumors, this study, could provide new ideas for early diagnosis, concomitant diagnosis, efficacy estimation (chemotherapy, radiotherapy and immunotherapy, etc.) as well as assessing the prognosis of malignant bone tumors.