Extracellular microvesicles (EVs) are membranous vesicles, which are released from diverse cells. These EVs have also been found in a wide range of body fluids. The cargo of EVs, including proteins, lipids, carbohydrates, and nucleic acids, can be stably preserved in EVs. Researchers have found that EVs can mediate intercellular communication by shuttling the cargo components. Therefore, EVs can be used for the identification of disease‐specific biomarkers. As one class of EVs, urinary exosomes can reflect the status of the renal system. Moreover, urinary exosome analysis can minimize the interference of high abundant proteins in the whole urine sample. Therefore, urinary exosomes have gained much attention in recent years. In this review, we present a comprehensive summary of urinary exosome studies in recent years, including collection, storage, and isolation methods. The normal and disease proteomic analyses of urinary exosomes are also presented. Thus, this review may provide a valuable reference for future research.