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Background: The interplay between exosomes and the tumor microenvironment (TME) remains unclear. We investigated the influence of exosomes on the TME in hepatocellular carcinoma (HCC), focusing on their mRNA expression profile. Methods: mRNA expression profiles of exosomes were obtained from exoRBase. RNA sequencing data from HCC patients’ tumors were acquired from The Cancer Genome Atlas (TCGA) and the International Cancer Genome Consortium (ICGC). An exosome mRNA-related risk score model of prognostic value was established. The patients in the two databases were divided into high- and low-risk groups based on the median risk score value, and used to validate one another. Functional enrichment analysis was performed based on a differential gene prognosis model (DGPM). CIBERSORT was used to assess the abundance of immune cells in the TME. The correlation between the expression levels of immune checkpoint-related genes and DGPM was analyzed alongside the prediction value to drug sensitivity. Results: A prognostic exosome mRNA-related 4-gene signature (DYNC1H1, PRKDC, CCDC88A, and ADAMTS5) was constructed and validated. A prognostic nomogram had prognostic ability for HCC. The genes for this model are involved in extracellular matrix, extracellular matrix (ECM)-receptor interaction, and the PI3K-Akt signaling pathway. Expression of genes here had a positive correlation with immune cell infiltration in the TME. Conclusions: Our study results demonstrate that an exosome mRNA-related risk model can be established in HCC, highlighting the functional significance of the molecules in prognosis and risk stratification. [ABSTRACT FROM AUTHOR]