Osteosarcoma (OS) is a primary bone tumor with high malignancy and the mechanism of hematogenous metastasis in OS is still not clear. The plasma exosomes derived from osteosarcoma play a key role in the process of tumor metastasis. Here, we established RNA-seq dataset for lncRNAs, circRNAs and mRNAs in plasma exosomes from 10 OS patients and 5 healthy donors. A total of 329.52 Gb of clean data was obtained. Besides, 1754 lincRNAs, 7096 known and 1935 new circRNA was identified. Finally, gene expression profiles and differentially expressed genes (DEGs) were analyzed among these 15 samples. There were 331 DEGs of mRNA, 132 of lincRNA and 489 of circRNA was obtained, respectively. This data set provides a significant resource for relevant researchers to excavate potential dysregulated lncRNAs, circRNAs and mRNAs of plasma exosomes in OS versus normal conditions.