Preterm labor (PTL) and Preterm Premature Rupture of Membranes (PPROM) impose substantial morbimortality on mothers and newborns. Exosomes act in intercellular communication carrying molecules involved in physiopathological processes. Little is known about exosomal proteins in prematurity. Our aim was to evaluate the protein expression of hemopexin, C1 inhibitor (C1INH) and alpha-2-macroglobulin (A2M) from circulating exosomes of women with PTL and PPROM. Plasma was obtained from PTL, PPROM, Term in labor and Term out of labor (T) patients, exosomes were isolated by ultracentrifugation, then lysed and the proteins quantified. Western Blot (WB) and Nanoparticle Tracking Analysis (NTA) were performed. Data were compared by Kruskal-Wallis, unpaired T-test and one-way ANOVA. WB and NTA confirmed exosome isolation (concentration: 4.3 × 1010 particles/ml ± 1.9 × 1010). There was no difference regarding hemopexin or C1INH expression between the groups. For A2M, the fold change was significantly higher on preterm groups when compared to term groups (1.07 ± 0.30 vs. 0.42 ± 0.17, p < 0.0001). Higher levels of A2M in circulating exosomes are linked to preterm pregnancies. sEV are strong candidates to intermediate maternal-fetal communication, carrying preterm labor-related immunomodulatory proteins.