Exosomes are vehicles in the body fluid that participate in many biological processes, especially immune responses. In this study, we employed comparative proteome analysis to investigate the roles of serum exosomes during viral infection in neonates using porcine epidemic diarrhea virus (PEDV), a devastating enteric virus in newborn piglets, as a model virus. Serum exosomes were first isolated from newborn piglets infected with PEDV or mock-infected newborn piglets, followed by label-free LC–MS/MS-based comparative quantitative proteomic analysis. Among the 441 detected proteins, 10 complement proteins were found in the serum exosomes, and significantly decreased expression levels of the C3, C6, and CFB complements were measured in PEDV-infected serum exosomes compared to those in mock-infected serum exosomes. After confirmation by Western blot, we then investigated the function of these exosomes in PEDV infection and discovered that exosomes from mock-infected newborn piglets restricted PEDV infection. However, this inhibition disappeared after the exosomes were heat-inactivated, suggesting that complements are key antiviral molecules. Our findings improve the understanding of antiviral responses mediated by exosomes in neonatal piglets and facilitate the discovery of novel antiviral drugs.