Exosomes, small extracellular vesicles (EVs) with sizes of 30–150 nm, are formed by an endosomal route and play a series of important roles in many physiological and pathological processes. Among all exosomal cargos, various RNAs selectively enclosed into exosomes have been recognized as mediators of intercellular communications and promising tools in clinical diagnosis and therapy. Accurate and sensitive exosomal RNAs analysis is crucial for both basic research and clinical applications. Rapid developments in exosomal RNAs research have been achieved in the past decade, while the most recent advances in exosomal RNAs detection techniques for clinical applications have not yet been outlined and discussed. This review offers a thorough introduction to exosomal RNAs and highlights the state-of-the-art advances in exosomal RNAs analysis from various sample matrices. Detection techniques for exosomal RNAs are discussed, with emphasis on various benchtop biosensors and microfluidic devices. Various applications of exosomal RNAs for cancer diagnosis and therapy are subsequently summarized, focusing on their roles as non-invasive biomarkers and therapeutic tools. We conclude with a discussion of current research challenges and indicate the abundant room for further progresses in exosomal RNAs analysis towards diagnostic and therapeutic applications.