Simple Summary Exosomes are nanosized vesicles secreted by living cells and exist in biological fluids. Exosomes contain various bioactive molecules, including proteins, nucleic acids, and lipids, which can reflect the pathophysiological state of donor cells. In recent years, long non-coding RNAs (lncRNAs) in exosomes have attracted wide attention in cancer research. Exosomal lncRNAs play important roles in gastrointestinal cancer progression. Blood samples-derived exosomal lncRNAs also exhibit great potential to serve as important indicators of liquid biopsy, thus providing a novel diagnosis strategy for gastrointestinal cancer. In addition, exosomes-mediated several lncRNAs delivery can exert anti-tumor effects. The aim of this review article is to summarize the recent work conducted in this field and evaluate the opportunities and challenges in utilizing exosomal lncRNAs for the diagnostic and therapeutic purposes of gastrointestinal cancer in the clinical setting. Due to the lack of specific and effective biomarkers and therapeutic targets, the early diagnosis and treatment of gastrointestinal cancer remain unsatisfactory. As a type of nanosized vesicles derived from living cells, exosomes mediate cell-to-cell communication by transporting bioactive molecules, thus participating in the regulation of many pathophysiological processes. Recent evidence has revealed that several long non-coding RNAs (lncRNAs) are enriched in exosomes. Exosomes-mediated lncRNAs delivery is critically involved in various aspects of gastrointestinal cancer progression, such as tumor proliferation, metastasis, angiogenesis, stemness, immune microenvironment, and drug resistance. Exosomal lncRNAs represent promising candidates to act as the diagnosis biomarkers and anti-tumor targets. This review introduces the major characteristics of exosomes and lncRNAs and describes the biological functions of exosomal lncRNAs in gastrointestinal cancer development. The preclinical studies on using exosomal lncRNAs to monitor and treat gastrointestinal cancer are also discussed, and the opportunities and challenges for translating them into clinical practice are evaluated.