The molecular profile of liquid biopsies is emerging as an alternative to tissue biopsies in the clinical management of malignant diseases. In colorectal cancer, significant liquid biopsy-based biomarkers have demonstrated an ability to discriminate between asymptomatic cancer patients and healthy controls. Furthermore, this non-invasive approach appears to provide relevant information regarding the stratification of tumors with different prognoses and the monitoring of treatment responses. This review focuses on the tumor microenvironment components which are detected in blood samples of colorectal cancer patients and might represent potential biomarkers. Exosomes released by tumor and stromal cells play a major role in the modulation of cancer progression in the primary tumor microenvironment and in the formation of an inflammatory pre-metastatic niche. Stromal cells-derived exosomes are involved in driving mechanisms that promote tumor growth, migration, metastasis, and drug resistance, therefore representing substantial signaling mediators in the tumor-stroma interaction. Besides, recent findings of specifically packaged exosome cargo in Cancer-Associated Fibroblasts of colorectal cancer patients identify novel exosomal biomarkers with potential clinical applicability. Furthermore, additional different signals emitted from the tumor microenvironment and also detectable in the blood, such as soluble factors and non-tumoral circulating cells, arise as novel promising biomarkers for cancer diagnosis, prognosis, and treatment response prediction. The therapeutic potential of these factors is still limited, and studies are in their infancy. However, innovative strategies aiming at the inhibition of tumor progression by systemic exosome depletion, exosome-mediated circulating tumor cell capturing, and exosome-drug delivery systems are currently being studied and may provide considerable advantages in the near future.