Exosomes are extracellular vesicles (EVs) released from cells under both physiological and pathological conditions, and may, thus, be present in biofluids. Urine is one of the most accessible biofluids implemented in clinical diagnostics. Recent mass spectrometry (MS)-based proteomic analyses have enabled high-throughput, deep proteome profiling of urinary EVs for the discovery, quantification and characterization of cancer-specific exosome biomarkers. The protein cargo of urine exosomes is emerging as an attractive source for biomarkers, not only for urological cancers, such as prostate, bladder and kidney cancer, but potentially also for nonurological cancers, including gastric, lung, oesophageal and colorectal cancer. More recently, exosome proteomics dissected protein cargo in the lumen and at the surface of EVs, and unexpectedly indicated that RNA- and DNA-binding proteins might also be present on vesicular surfaces. Here, we analyse MS-based proteomic data on urinary exosomes from cancer patients, and discuss the potential of urinary exosome-derived biomarkers in cancer.