Nonalcoholic fatty liver disease (NAFLD) is a multifactorial metabolic syndrome which could develop into hepatocellular carcinoma (HCC). Exosomes could mediate intercellular communications and play key roles in the occurrence and development of many diseases including NAFLD and HCC. However, expressions and roles of the genes related to exosomes in NAFLD-related HCC remain unclear. The objective of this study was to investigate the expressions and diagnostic values of exosome-related genes in NAFLD-related HCC. Firstly, two risk subgroups of patients with NAFLD-related HCC from the gene expression omnibus (GEO) database were identified based on exosome-related genes. High levels of memory CD4 T cells and low expressions of immune checkpoint genes were observed in the group with highly expressed genes which could promote exosome secretion. Subsequently, the logistic regression analysis was used to identify the three selected exosome-related genes and generate the formula in the NAFLD-related HCC cohort based on the three selected exosome-related genes. Receiver operating characteristic (ROC) curve analysis confirmed the good predictive power of the formula, and the area under the curve (AUC) of risk score was 0.736 for differentiating tumor tissues of NAFLD-related HCC patients from liver tissues of other groups. Kyoto Encyclopedia of Genes and Genomes (KEGG) and Gene Ontology (GO) pathway enrichment analysis showed abundant metabolism-related pathways, including "glyoxylate and dicarboxylate metabolism" and "carbon metabolism pathway" were screened out in differentially expressed genes (DEGs) between the high and low risk-score groups. The risk score was also positively correlated with memory CD4 T cells and negatively associated with immune checkpoint genes including programmed cell death 1 (PD1), programmed cell death ligand 1 (PDL1), and programmed cell death ligand 2 (PDL2). The results of mouse model showed that the mRNA and protein expression levels of vacuolar protein sorting 45 homolog (VPS45) and vesicle associated membrane protein 5 (VAMP5) were increased in the liver tissue of NAFLD-related HCC mice, and the exophilin 5 (EXPH5) expression was decreased. And the proportion of CD4 T cells was positively correlated with the relative mRNA expression of VPS45 and VAMP5, and negatively correlated with the relative mRNA expression of EXPH5 in liver tissues of NAFLD-related HCC mice. Finally, the prognostic potential of the exosome-related formula was analyzed in the HCC cohort from the cancer genome atlas (TCGA) database, and patients in the group with highly expressed exosome-promoted genes showed significantly reduced overall survival (OS). We performed univariate and multivariate Cox regression analysis and found that risk score was an independent prognostic factor (HR = 1.75, 95% CI:1.20-2.54, p < 0.01). Furthermore, patients in the high-risk group were more sensitive to chemotherapy drugs such as 5-Fluorouracil, Leflunomide, Cisplatin, ML323, Dabrafenib, Palbociclib, Irinotecan, Ribociclib and Nilotinib. In summary, our study clarified the predictive effect and clinical diagnosis significance of exosome-related genes in the development of NAFLD-related HCC and provided new directions for the prognosis of NAFLD-related HCC patients.