Caprine parainfluenza virus type 3 (CPIV3) is a novel important pathogen causing respiratory disease in goats, but the pathogenic mechanism is not clear yet. Evidence suggests that exosomes transfer biologically active molecules between cells. Viral infections can cause profound changes in exosome components, and exosomes have been involved in viral transmission and pathogenicity. In this study, we explored the characteristics and functions of exosomes purified from the supernatant of Madin-Darby bovine kidney (MDBK) cells inoculated with CPIV3. Infection of CPIV3 showed increased exosome secretion and the loading of viral proteins and RNA into exosomes. These exosomes were capable of transferring CPIV3 genetic materials to recipient cells to establish a productive infection and promote the viral replication. To explore the potential mechanism, small RNA deep sequencing revealed that CPIV3 exosomes contained a diverse range of RNA species, including miRNA and piRNA, in proportions different from exosomes isolated from mock-infected cells. Expression patterns of 11 differentially expressed miRNAs were subsequently validated by quantitative reverse transcriptase PCR (qRT-PCR). Targets of miRNAs were predicted and functional annotation analysis showed that the main pathways involved were autophagy signalling ways. Autophagy inhibited by the CPIV3-exosome was further verified, and miR-126-3 p_2 packaged in the vesicles was an important regulation factor in this process. Inhibition of autophagy may be one of the responsible reasons for promoting efficient replication of exosome-mediated CPIV3 infection. The study suggests that exosomes are key in pathogenesis or protection against CPIV3. Further understating of their role in CPIV3 infection may bring novel insight to the development of protection measures.