Melanoma, a malignant mass lesion that originates in melanocytes and has a high rate of malignancy, metastasis, and mortality, is defined by these characteristics. Malignant melanoma is a kind of highly malignant tumor that produces melanin and has a high mortality rate. Its incidence accounts for 1%–3% of all malignant tumors and shows an obvious upward trend. The discovery of biomolecules for the diagnosis and treatment of malignant melanoma has important application value. So far, the exact molecular mechanism of melanoma development relevant signal pathway still remains unclear. According to previous studies, extracellular RNAs (exRNAs) have been implicated in tumorigenesis and spread of melanoma. They can influence the proliferation, invasion and metastasis of melanoma by controlling the expression of target genes and can also influence tumor progression by participating in signal transduction mechanisms. Therefore, understanding the relationship between exRNA and malignant melanoma and targeting therapy is of positive significance for its prevention and treatment. In this review, we did an analysis of extracellular vesicles of melanoma which focused on the role of exRNAs (lncRNAs, miRNAs, and mRNAs) and identifies several potential therapeutic targets. In addition, we discuss the typical signaling pathways involved in exRNAs, advances in exRNA detection and how they affect the tumor immune microenvironment in melanoma.