Semen preservation quality affects the artificial insemination success rate, and seminal exosomes are rich in various proteins that are transferable to sperm and conducive to sperm-function preservation during storage. However, the specific effects of these proteins remain unclear. In this study, the specific effects of these proteins on semen preservation quality and fertilization capacity were investigated through a proteomic analysis of seminal exosomes from boars with high conception rates (HCRs) and low conception rates (LCRs). The results revealed significant differences in the expression of 161 proteins between the two groups, with the GPX5 level being significantly higher in the HCR group (p < 0.05). The role of GPX5 was further investigated by constructing engineered exosomes enriched with GPX5 (Exo-GPX5), which could successfully transfer GPX5 to sperm. Compared to the control group, Exo-GPX5 could significantly improve sperm motility on storage days 4 and 5 and enhance the acrosome integrity on day 5 (p < 0.05). Additionally, Exo-GPX5 increased the total antioxidant capacity (T-AOC) of sperm, reduced the malondialdehyde (MDA) level, and decreased the expression of antioxidant proteins SOD1 and CAT (p < 0.05). In simulated fertilization experiments, Exo-GPX5-treated sperm exhibited higher capacitation ability and a significant increase in the acrosome reaction rate (p < 0.05). Overall, Exo-GPX5 can improve boar semen quality under 17 °C storage conditions and enhance sperm fertilization capacity.