Bone malignancies exhibit the characteristics of high incidence, poor prognosis, and strong chemoresistance. Exosomal microRNAs can regulate the proliferation of bone malignant cells, improve chemoresistance, influence cell communication and the microenvironment, and have significant potential in the diagnosis and treatment of bone malignancies. Due to their stability, exosomal microRNAs can serve as non-invasive biomarkers for diagnosis and prognosis. However, their widespread application in clinical settings requires standardized research. This review summarizes the progress of exosomal microRNA research in various bone malignancies including osteosarcoma, chondrosarcoma, Ewing sarcoma, and fibrosarcoma, to provide new theoretical foundations and perspectives for the field.