Identifying and verifying appropriate biomarkers is instrumental in improving the prediction of early-stage pig production performance while reducing the cost of breeding and production. The main factor that affects the production cost and environmental protection cost of the pig industry is the feed efficiency of pigs. This study aimed to detect the differentially expressed proteins in the early blood index determination serum between high-feed efficiency and low-feed efficiency pigs and to provide a basis for further identification of biomarkers using the isobaric tandem mass tag and parallel reaction monitoring approach. In total, 350 (age, 90 ± 2 d; body weight, 41.20 ± 4.60 kg) purebred Yorkshire pigs were included in the study, and their serum samples were obtained during the early blood index determination. The pigs were then arranged based on their feed efficiency; 24 pigs with extreme phenotypes were grouped as high-feed efficiency and low-feed efficiency, with 12 pigs in each group. A total of 1364 proteins were found in the serum, and 137 of them showed differential expression between the groups with high- and low-feed efficiency, with 44 of them being upregulated and 93 being downregulated. PRM (parallel reaction monitoring) was used to verify 10 randomly chosen differentially expressed proteins. The proteins that were differentially expressed were shown to be involved in nine pathways, including the immune system, digestive system, human diseases, metabolism, cellular processing, and genetic information processing, according to the KEGG and GO analyses. Moreover, all of the proteins enriched in the immune system were downregulated in the high-feed efficiency pigs, suggesting that a higher immune level may not be conducive to improving feed efficiency in pigs. This study provides insights into the important feed efficiency proteins and pathways in pigs, promoting the further development of protein biomarkers for predicting and improving porcine feed efficiency.