Allergic diseases and lipid-metabolism-disorder-derived diseases are both significant public health issues. Recent studies have shown that exosomes are associated with the course of allergic diseases and are involved in lipid metabolism. In this study, exosomes derived from cow's milk allergic (CMA) mice medially loaded lesser proteins favoring cholesterol metabolism. The levels of total cholesterol (TC) and low-density lipoprotein cholesterol (LDL-c) in the serum were increased in the CMA mice, and hepatic lipid deposition was observed in the liver, but these phenomena were improved by inhibiting the exosome release. Specifically, the higher expression of the sterol regulatory element binding factor 2 (SREBP2) protein and HMGCR gene in the liver of CMA mice indicated an increase in cholesterol synthesis. NPC1L1 was also highly expressed in the small intestine of CMA mice, and fecal TC level was decreased, suggesting that the reabsorption of cholesterol was elevated. The biosynthesis of cholesterol, the reverse cholesterol transport (RCT) process, and the synthesis of bile acid in the liver were improved by inhibiting exosome release, as well as the reabsorption of cholesterol in the small intestine. This study has for the first time demonstrated the lipid metabolism disorder caused by CMA, especially the important role of exosomes in food allergies and lipid metabolism.