The heterogeneity of small extracellular vesicles and presence of non-vesicular extracellular matter have led to debate about contents and functional properties of exosomes. Here, we employ high-resolution density gradient fractionation and direct immunoaffinity capture to precisely characterize the RNA, DNA, and protein constituents of exosomes and other non-vesicle material. Extracellular RNA, RNA-binding proteins, and other cellular proteins are differentially expressed in exosomes and non-vesicle compartments. Argonaute 1–4, glycolytic enzymes, and cytoskeletal proteins were not detected in exosomes. We identify annexin A1 as a specific marker for microvesicles that are shed directly from the plasma membrane. We further show that small extracellular vesicles are not vehicles of active DNA release. Instead, we propose a new model for active secretion of extracellular DNA through an autophagy- and multivesicular-endosome-dependent but exosome-independent mechanism. This study demonstrates the need for a reassessment of exosome composition and offers a framework for a clearer understanding of extracellular vesicle heterogeneity.