Liquid biopsy, based on the analysis of circulating tumor cells (CTCs) and circulating tumor DNA (ctDNA), provides non-invasive real-time monitoring of tumor evolution and therapeutic efficacy. We performed for the first time a direct comparison study on gene expression and DNA methylation markers in CTCs and paired plasma-derived exosomes and evaluated their prognostic significance in metastatic castration resistant prostate cancer. This prospective liquid biopsy (LB) study was based on a group of 62 metastatic castration resistant prostate cancer (mCRPC) patients and 10 healthy donors (HD) as controls. Identical blood draws were used to: a) enumerate CTC and tumor-derived extracellular vesicles (tdEVs) using CellSearch (CS) and b) analyze CTCs and paired plasma-derived exosomes at the gene expression and DNA methylation level. CTCs were enumerated using CellSearch in 57/62 patients, with values ranging from 5 to 854 cells/7.5mLPB. Our results revealed for the first time a significantly higher positivity of gene expression markers (CK-8, CK-18, TWIST1, PSMA, AR-FL, AR-V7, AR-567 and PD-L1 mRNA) in EpCAM-positive CTCs compared to plasma-derived exosomes. GSTP1, RASSF1A and SCHLAFEN were methylated both in CTC and exosomes. In CTCs, Kaplan–Meier analysis revealed that CK-19(p = 0.009), PSMA(p = 0.001), TWIST1(p = 0.001) expression and GSTP1(p = 0.001) methylation were correlated with OS, while in exosomes GSTP1 (p = 0.007) and RASSF1A (p = 0.001) methylation was correlated with OS. Our direct comparison study of CTCs and exosomes at gene expression and DNA methylation level, revealed for the first time a significantly higher positivity in EpCAM-positive CTCs compared to plasma-derived exosomes. Future perspective of this study should be the evaluation of clinical utility of molecular biomarkers in CTCs and exosomes on independent multicentric cohorts with mCRPC patients.