The Nef protein of human immunodeficiency virus (HIV) promotes viral replication and progression to AIDS. Besides its well-studied effects on intracellular signaling, Nef also functions through its secretion in exosomes, which are nanovesicles containing proteins, microRNAs, and mRNAs and are important for intercellular communication. Nef expression enhances exosome secretion and these exosomes can enter uninfected CD4 T cells leading to apoptotic death. We have recently reported the first miRNome analysis of exosomes secreted from Nef-expressing U937monocytic cells. Here we show genome-wide transcriptome analysis of Nef-expressing U937 cells and their exosomes. We identified four key mRNAs preferentially retained in Nef-expressing cells; these code for MECP2, HMOX1, AARSD1, and ATF2 and are important for chromatin modification and gene expression. Interestingly, their target miRNAs are exported out in exosomes. We also identified three key mRNAs selectively secreted in exosomes from Nef-expressing U937 cells and their corresponding miRNAs being preferentially retained in cells. These are AATK, SLC27A1, and CDKAL and are important in apoptosis and fatty acid transport. Thus, our study identifies selectively expressed mRNAs in Nef-expressing U937 cells and their exosomes and supports a new mode on intercellular regulation by the HIV-1 Nef protein.