Lung cancer represents the leading cause of cancer-related mortality worldwide, with around 1.8 million deaths in 2020. For this reason, there is an enormous interest in finding early diagnostic tools and novel therapeutic approaches, one of which is extracellular vesicles (EVs). EVs are nanoscale membranous particles that can carry proteins, lipids, and nucleic acids (DNA and RNA), mediating various biological processes, especially in cell–cell communication. As such, they represent an interesting biomarker for diagnostic analysis that can be performed easily by liquid biopsy. Moreover, their growing dataset shows promising results as drug delivery cargo. The aim of our work is to summarize the recent advances in and possible implications of EVs for early diagnosis and innovative therapies for lung cancer.