Objective: Multimodal omics approaches have propelled the study of mechanisms related to exercise, yet the effects of physical training on protein expression and metabolites in the plasma exosomes of Yili horses remain unclear. This study aims to elucidate the impact of exercise training on protein expression and metabolites of Yili horse plasma exosomes through a comprehensive omics analysis, providing reference indicators for the training and evaluation of athletic performance in Yili horses. Methods: Eight three-year-old Yili horses of similar age were selected for the study, with four untrained horses serving as the control group and four trained horses comprising the training group. All participating horses were drug-free, had no history of illness, and were in a healthy condition. After extracting and identifying the plasma exosomes, we conducted proteomics and metabolomics analyses to detect and analyze differences in exosomal proteins and metabolites. Results: There was no significant difference in the particle size of plasma exosomes between the two groups. However, significant changes were observed in the proteomics and metabolomics profiles of the training group. Notably, the primary cellular composition differences in were related to the cytoplasm and nucleus, with significant alterations in transcription and transcription regulation processes. Proteomic subcellular localization differences were mainly concentrated in the cytoplasm and nucleus, with enhanced cell signal transduction functions. Additionally, there was a significant reduction in carbohydrates and their metabolic products within the metabolites. Conclusion: Training significantly alters the expression, protein expression, and metabolite composition of Yili horse blood exosomes, with these changes primarily associated with enhanced metabolic capacity.