Background The function of exosome includes cell-to-cell communication, neovascularization, and metastasis of cancer cell and drug resistance, which plays an important part in the occurrence and progression of hepatocellular carcinoma (HCC). Because the mechanism in this area is less studied, our goal is to identify exosome-related genes in HCC, establish a reliable prognostic model for liver cancer patients, and explore its underlying mechanisms. Methods The exoRbase database and The Cancer Genome Atlas (TCGA) database were used to analyze differentially expressed genes (DEGs). Cox regression and LASSO analysis were applied to determine DEGs closely related to overall survival (OS). Then the exosome-related prognostic model was constructed in TCGA and validated in the database of International Cancer Genome Consortium (ICGC). Nomogram graph was performed to predict the survival. CIBERSORT was used to estimate the score of different type of immune cells. DEGs related to immunotherapy are used to predict the effect of immunotherapy. Results 48 exosome-related DEGs were obtained and five genes (XPO1, IFI30, FBXO16, CALM1, MORC3) among them were selected to construct predictive model. Then we divided the HCC patients into low-risk and high-risk groups by the best cut-off value according to the X-tile software. The high-risk related to exosome were significantly associated with a poor prognosis. Moreover, the features related to exosome could positively regulate immune response. At the same time, the proportion of T cell regulatory factors (Tregs) and macrophages M2 is higher in the high-risk group, and high-risk group exhibited higher expression of immune checkpoint molecular including PD-L1, PD-L2, TIGIT, and IDO1. Conclusions Overall, our research showed that markers related to exosomes were potential biomarkers for the prognosis of HCC, providing an immunological perspective for the development of precision treatment.