Osteosarcoma (OS) is the most common primary malignant bone tumor and remains clinically challenging because of early pulmonary metastasis, chemotherapy resistance, marked tumor heterogeneity, and the lack of reliable biomarkers for real-time disease monitoring. Extracellular vesicles (EVs) have emerged as key mediators of intercellular communication and promising, but still exploratory, liquid-biopsy platforms because of their stability in biofluids and information-rich molecular cargo. EV-encapsulated non-coding RNAs (ncRNAs), including microRNAs (miRNAs), long non-coding RNAs (lncRNAs), and circular RNAs (circRNAs), participate in OS progression through source- and context-dependent regulatory networks. Representative oncogenic EV-miRNAs include OS cell-derived miR-675, which promotes migration and invasion by targeting calneuron 1 (CALN1), and BMSC-derived miR-21-5p, which enhances OS proliferation and invasion by suppressing phosphoinositide-3-kinase regulatory subunit 1 (PIK3R1) and activating phosphoinositide 3-kinase (PI3K)/protein kinase B (AKT)/mechanistic target of rapamycin (mTOR) signaling. Conversely, tumor-suppressive miR-101 inhibits OS invasion and pulmonary metastasis through B-cell lymphoma 6 protein (BCL6)-associated PI3K/AKT and Janus kinase (JAK)/signal transducer and activator of transcription (STAT) signaling. EV-derived lncRNAs and circRNAs, including linc00852, LIFR antisense RNA 1 (LIFR-AS1), plasmacytoma variant translocation 1 (PVT1), metastasis associated lung adenocarcinoma transcript 1 (MALAT1), OIP5 antisense RNA 1 (OIP5-AS1), circ-0010220, and circular RNA derived from nuclear receptor interacting protein 1 (circNRIP1), regulate malignant phenotypes through experimentally reported mechanisms such as the linc00852/AXL receptor tyrosine kinase (AXL) feedback loop, LIFR-AS1/miR-29a/nuclear factor I A (NFIA) signaling, OIP5-AS1/miR-153/ATG5 regulation, and circNRIP1/miR-532-3p/AKT3-mediated PI3K/AKT activation. Engineered EVs carrying therapeutic ncRNAs show strong clinical potential, but translation is limited by insufficient multicenter validation, inadequate disease controls, suboptimal delivery to pulmonary metastases, and non-standardized EV/ncRNA workflows. Overall, EV-derived ncRNAs remain promising but exploratory biomarkers and therapeutic candidates, requiring standardized methods and robust prospective multicenter validation.