We are actually pretty close to having found "exomoons"(natural satellite orbiting an exoplanet), with several promising candidates having been identified alrea

We are actually pretty close to having found "exomoons"(natural satellite orbiting an exoplanet), with several promising candidates having been identified already. David Kipping's Cool Worlds lab at Columbia has done some promising research on this, some of which is detailed in excellent videos on their youtube channel.