Melanoma is one of the most lethal cutaneous malignancies. Despite great advances in radiotherapy, chemotherapy, and immunotherapy, the survival rate and prognosis of patients with melanoma remain poor. The abundant and sophisticated reciprocal communication network between melanoma cells and non-tumor cells contributes to the high heterogeneity of the melanoma microenvironment and is intimately related to varying treatment responses and clinical courses. Extracellular vesicles (EVs) are membrane structures generated by nearly all cell types. EVs contain biologically active molecules, mainly comprising proteins, lipids, and RNAs, and undoubtedly play multifaceted roles in numerous diseases, represented by melanoma. Non-coding RNAs (ncRNAs) mainly encompass long non-coding RNAs, microRNAs, and circular RNAs and constitute the majority of the human transcriptome. Multiple ncRNAs encapsulated in EVs coordinate various pathophysiological processes in melanoma. This review summarizes the mechanisms by which EV-ncRNAs modulate biological behaviors and immunity, and their potential diagnostic and therapeutic applications in melanoma. Undoubtedly, further insight into EV-ncRNAs and their functions in melanoma will contribute to the clinical treatment of melanoma and the implementation of precision medicine.