The knowledge of the host response to the novel coronavirus SARS-CoV-2 is still limited, slowing the understanding of COVID-19 pathogenesis and the development of therapeutic strategies. During the course of a viral infection, host cells release exosomes and other extracellular vesicles carrying viral and host components, which can modulate the immune response. The present study used a shotgun proteomic approach to mapping the host circulating exosomes response to SARS-CoV-2 infection. We investigated how SARS-CoV-2 modulates extracellular vesicles content, their involvement in disease progression and the potential use of plasma exosomes as biomarkers of disease severity. Proteomic analysis of patients derived exosomes identified several molecules involved in immune response, inflammation, activation of coagulation and complement pathways, the main mechanisms of COVID-19-associated tissue damage and multiple organ dysfunctions. In addition, several potential exosomal biomarkers such as C-reactive protein, Fibrinogen gamma chain, C4b-binding protein alpha chain and Alpha-1-acid glycoprotein 1, presenting an area under the curve (AUC) of 1, were identified. Proteins correlated to the severity of the disease were also detected. These data indicate the existence of a significant contribution of circulating exosomes to inflammation, coagulation, and immunomodulation during SARS-CoV-2 infection.