Exosomes are 40–100 nm nanovesicles containing RNA and different proteins. Exosomes containing proteins, lipids, mRNAs, and microRNAs are important in intracellular communication and immune function. Exosomes from different sources are usually obtained by combination of centrifugation and ultracentrifugation and according to published data can contain from a few dozens to thousands of different proteins. Crude exosome preparations from milk of eighteen horses were obtained for the first time using several standard centrifugations. Exosome preparations were additionally purified by FPLC gel filtration. Individual preparations demonstrated different profiles of gel filtration showing well or bad separation of exosome peaks and one or two peaks of co-isolating proteins and their complexes. According to the electron microscopy, well purified exosomes displayed a typical exosome-like size (30–100 nm) and morphology. It was shown that exosomes may have several different biological functions, but detection of their biological functions may vary significantly depending on the presence of exosome contaminating proteins and proteins directly into exosomes. Exosome proteins were identified before and after gel filtration by MALDI MS and MS/MS spectrometry of protein tryptic hydrolyzates derived by SDS PAGE and 2D electrophoresis. The results of protein identification were unexpected: one or two peaks co-isolating proteins after gel-filtration mainly contained kappa-, beta-, alpha-S1-caseins and its precursors, but these proteins were not found in well-purified exosomes. Well-purified exosomes contained from five to eight different major proteins: CD81, CD63 receptors, beta-lactoglobulin and lactadherin were common to all preparations, while actin, butyrophilin, lactoferrin, and xanthine dehydrogenase were found only in some of them. The article describes the morphology and the protein content of major horse milk exosomes for the first time. Our results on the decrease of major protein number identified in exosomal preparations after gel filtration may be important to the studies of biological functions of pure exosomes.