Prostate cancer (PCa) often manifests insidiously, with most patients being diagnosed at an advanced stage, leading to a poor prognosis. Early detection of PCa can significantly prolong overall survival by impeding the progression of metastasis. A commonly utilized screening method for detecting PCa is the prostate-specific antigen test. However, since the prostate-specific antigen lacks specificity and sensitivity for PCa identification, there is a paramount urgency to develop precise diagnostic biomarkers for early detection. Extracellular vesicles, known as exosomes, are released by cells into body fluids. Exosomes derived from cancer cells can carry genetic information about the tumor, including DNA, RNA, and proteins, which play crucial roles in tumor initiation, invasion, metastasis, and drug resistance. Studies have indicated that exosomes (including messenger RNAs, microRNAs, long noncoding RNAs and others) can enhance the sensitivity and specificity of PCa diagnosis, indicating their potential for early detection. This review highlights the biological characteristics and functions of exosomes, as well as recent advancements in their use for the diagnosis, prognosis, and treatment of prostate cancer.