Background: Prostate and bladder cancers continue to be the first and fourth most common cancers in men worldwide; thus there is an urgent need for more accurate biomarkers that can detect these types of cancer in a non-invasive way. Liquid biopsy is a new non-invasive tool for diagnosis and with a virtually unlimited supply urine is even more attractive resource since urinary exosomes have been discovered to contain RNAs that are hallmarks of cancer. It is challenging to assay those secreting lower amounts of molecules. Methods: This review, based on articles identified through a PubMed/MEDLINE search, comprehensively summarizes state of the art approaches used in the discovery and validation of exosomal RNA biomarkers purified from the urine for lower urinary tract cancer. Results: The combination of PCA3 and ERG has shown a relatively good improvement in diagnostic performance; examples of other potential biomarkers and the methods utilized in their discovery are also discussed in this review. Conclusions: Of these last markers, to date there are still few data to implement these for routine diagnosis.