Avian leukosis virus (ALV) is oncogenic retrovirus that not only causes immunosuppression but also enhances the host's susceptibility to secondary infection. Exosomes play vital role in the signal transduction cascades that occur in response to viral infection. We want to explore the function of exosomes in the spread of ALV and the body's subsequent immunological response. RNA-sequencing and the isobaric tags for relative and absolute quantitation (iTRAQ) method were used to detect differentially expressed genes (DEGs) and differentially expressed proteins (DEPs) in exosomes secreted by macrophage cells in response to injection with ALV subgroup J (ALV-J). RNA-sequencing identified 513 DEGs in infected cells, with specific differential regulation in mRNA involved in tight junction signaling, TNF signaling, salmonella infection response, and immune response, among other important cellular processes. Differential regulation was observed in 843 lncRNAs, with particular enrichment in those lncRNA targets involved in Rap1 signaling, HTLV-I infection, tight junction signaling, and other signaling pathways. A total of 50 DEPs were identified in the infected cells by iTRAQ. The proteins enriched are involved in immune response, antigen processing, the formation of both MHC protein and myosin complexes, and transport. Combined analysis of the transcriptome and proteome revealed that there were 337 correlations between RNA and protein enrichment, five of which were significant. Pathways that were enriched on both the RNA and protein levels were involved in pathways in cancer, PI3K-Akt signaling pathway, Endocytosis, Epstein-Barr virus infection. These data show that exosomes are transmitters of intercellular signaling in response to viral infection. Exosomes can carry both viral nucleic acids and proteins, making it possible for exosomes to be involved in the viral infection of other cells and the transmission of immune signals between cells. Our sequencing results confirme previous studies on exosomes and further find exosomes may cause immunosuppression and immune tolerance.