Identification of biomarkers that could be used for the prediction of the response to neoadjuvant radiotherapy (neo-RT) in locally advanced rectal cancer remains a challenge addressed by different experimental approaches. Exosomes and other classes of extracellular vesicles circulating in patients’ blood represent a novel type of liquid biopsy and a source of cancer biomarkers. Here, we used a combined proteomic and metabolomic approach based on mass spectrometry techniques for studying the molecular components of exosomes isolated from the serum of rectal cancer patients with different responses to neo-RT. This allowed revealing several proteins and metabolites associated with common pathways relevant for the response of rectal cancer patients to neo-RT, including immune system response, complement activation cascade, platelet functions, metabolism of lipids, metabolism of glucose, and cancer-related signaling pathways. Moreover, the composition of serum-derived exosomes and a whole serum was analyzed in parallel to compare the biomarker potential of both specimens. Among proteins that the most properly discriminated good and poor responders were GPLD1 (AUC = 0.85, accuracy of 74%) identified in plasma as well as C8G (AUC = 0.91, accuracy 81%), SERPINF2 (AUC = 0.91, accuracy 79%) and CFHR3 (AUC = 0.90, accuracy 81%) identified in exosomes. We found that the proteome component of serum-derived exosomes has the highest capacity to discriminate samples of patients with different responses to neo-RT when compared to the whole plasma proteome and metabolome. We concluded that the molecular components of exosomes are associated with the response of rectal cancer patients to neo-RT and could be used for the prediction of such response.