Background/Objectives: Donkey milk (DM) has been considered a valuable alternative to human and bovine counterparts as well as to infant formulas. Milk extracellular vesicles (EVs) have been proposed to influence key biological processes. The purpose of this study is to provide a comprehensive characterization of the protein composition of extracellular vesicles (EVs) by extending quantitative proteomic comparisons to EVs derived from donkey colostrum (DC) and mature donkey milk (MDM). Methods: The EVs were isolated from DC and MDM samples, characterized, and subjected to proteomic analysis using the tandem mass tag-based quantitative approach. Results: In addition to typical milk proteins and EV markers, EVs from DC and MDM both contain components associated with the immune system, immune response, or promoting tissue repair, and assisting with communication between the infant and their environment. The EVs from DC were enriched in proteins associated with protein turnover, specific defense functions, and regenerative processes. Conclusions: Overall, the results can contribute to the broader characterization of the overall protein composition of DC and MDM and might help to predict the beneficial effects of the corresponding EVs on various mammalian cells. They may also provide valuable insights for the development of novel DM-based products for food, pharmaceutical, and biotechnological applications.