Background: Overweight and especially obesity are associated with the risk of the development and progression of colorectal cancer. It can be assumed that there are multifaceted interactions between the tumor and adipose tissue during anti-tumor treatment. Cancer cells secrete exosomes, extracellular vesicles affecting the microenvironment of the tumor and promoting its progression or regression. The presence of transcription/translation/folding factors (heat shock proteins (HSPs), matrix metalloproteinases (MMPs) and their tissue inhibitors (TIMPs) in exosomes secreted by irradiated cells and cells exposed to hyperthermia, indicates the cell adaptation to the thermal and radiation stress. Aim: To analyze the MMPs, TIMP1, and HSPs on CD9-positive (CD9+) exosomes, as well as on exosomes of adipocytic origin (FABP4+) in rectal cancer patients with overweight/obesity under thermoradiochemotherapy (TRCT) and their association with the immediate treatment efficacy. Methods: Since 2021, 20 patients (of those 8 men; median age 59.0 [52.0; 63.0] years, median body mass index 29.6 [28.5; 33.1] kg/m2) with morphologically verified rectal cancer (T3-4N0M0 and T3-4N1M0, differentiation grade G1–G3) have been participating in the study. They were treated with TRCT: external gamma therapy (2 Gy, 1 fraction/day, 5 days/week, total focal dose 54 Gy), chemotherapy with capecitabine (825 mg/m2 twice daily) combined with local hyperthermia (42–44 °C, 60 min, 3 times/week, 10 sessions). The TRCT efficacy was assessed by RECIST 1.1 and ESGAR criteria. Blood samples for exosomes were taken from the patients at baseline (point 1), in the middle of the treatment course (point 2), at 6 to 10 weeks after the end of TRCT (point 3), and at 6 months after point 1 (point 4). Small extracellular vesicles were isolated from plasma by ultrafiltration with double ultracentrifugation. The isolated exosomes were characterized by transmission electronic microscopy, flow cytometry and nanoparticle trajectory analysis (NTA). Results: TRCT resulted in complete tumor regression in 13/20 of the rectal cancer patients and partial regression or stabilization in 7/20. Four subpopulations of CD9+ and FABP4+ exosomes associated with the TRCT efficacy were identified (CD9+MMP2+, СD9+MMP2+9+TIMP1+, СD9+MMP2+9+TIMP1-, and FABP4+MMP2+9-TIMP1+). Compared to the CD9+ exosomes, the adipocytic vesicles had higher MMP2 expression (p = 0.026); however, the adipocyte vesicles subpopulation were virtually free of vesicles with combined MMP2 and MMP9 gelatinase expression. The HSPs expression by circulating exosomes at various TRCT steps was associated neither with direct treatment efficacy nor with the vesicle type. Conclusion: The expression of MMPs and TIMP1 on CD9+ and FABP4+ exosomes is associated with TRCT efficacy. In the future, vesicular markers could be used to build prognostic models, to identify patient groups with an unfavorable prognosis, and to personalize treatment and follow-up.