Abstract Background Roxadustat is a new oral anti-renal anemia medication that works by stabilizing hypoxia-inducible factor (HIF) which can activate the expression of more than 100 genes in addition to genes related to anemia. However, the more potential molecular targets of roxadustat are not completely clear. Therefore, it is essential to further reveal its molecular targets to guide its clinical applications. Methods We performed label-free quantification and LC-MS/MS to study the proteomic alterations in serum exosome of renal anemia patients before and after roxadustat therapy. Results were validated by PRM. Results A total of 30 proteins were significantly changed after treatment with roxadustat. Among these proteins, 18 proteins were up-regulated (and 12 were down-regulated). The results are statistically significant (P < 0.05). Then, we validated the result by PRM, the results confirmed that TFRC, HSPA8, ITGB3, COL1A2, and YWHAZ were markedly upregulated, while ITIH2 and CFH were significantly downregulated upon treatment with roxadustat. Conclusions TFRC and HSPA8 could be an important target of the action of roxadustat, and roxadustat may increase cardiovascular risk through its influence on platelet activation. Our results provide a theoretical basis for its wider clinical application and preventing expected side effects.