Exosomes participate in intercellular communication by carrying proteins, messenger RNA, microRNAs, and non‐coding RNA. Fatty liver is a common phenomenon in farmed fish, but there has been little study of fatty hepatocytes‐derived exosomes. Here, we successfully isolated exosomes from hepatocytes of grass carp, named Exos (hepatocytes‐derived exosomes) and OA‐Exos (fatty hepatocytes‐derived exosomes), from which 617 differentially expressed proteins were identified using liquid chromatography tandem mass spectrometry. Of these, 320 proteins were promoted and 297 proteins were restrained, which were gathered in biological processes and cellular components (cellular processes, cells, and intracellular structures). The results of kyoto encyclopedia of genes and genomes (KEGG) analysis revealed that the differential expression proteins were gathered in “carbohydrate transport and metabolism”, “translation, ribosomal structure and biogenesis”, “posttranslational modification, protein turnover, chaperones”, and “intracellular trafficking, secretion, and vesicular transport”. In addition, five differentially expressed exosomal proteins were further confirmed by parallel reaction monitoring, including 2‐phospho‐D‐glycerate hydrolyase, cytochrome b5, fatty acid‐binding protein domain‐containing protein, metallothionein, and malate dehydrogenas, which were downregulated. These findings provided evidence that exosomes derived from fatty hepatocytes of grass carp may be biomarkers for the early diagnosis, treatment, and prevention of fatty liver in fishery development.