Here we report the results of the pilot project of exosomal miRNA expression levels in clear cell renal cell carcinoma (ccRCC) patients with different clinical response to ICIs (nivolumab) and treatment related toxicity. Immune-related adverse events (irAEs) are a major cause of immune checkpoint inhibitors cancellation and therapy failure. Modern studies demonstrate evidence that exosomes are of great importance in the formation of tumor resistance to ICIs drugs and therapy. We performed exosomal miRNA-146a expression analysis using qPCR on 86 ccRCC patients and revealed a statistically significant (p = 0.01) decreased expression level in ccRCC patients with CTCAE grade 3–4 (M±SEM 1.71 ± 0.13) compared to CTCAE grade 0–2 group (M±SEM 2.30 ± 0.24). The expression levels of miRNA-126, miRNA-218 and miRNA-410 did not show statistically significant differences in the comparison groups (p > 0.05). Association analysis of rs2910164 in the miRNA-146a gene demonstrated that CC genotype and C allele carriers had higher risk of developing severe irAEs (p = 0.03, OR = 6.12; p = 0.01, OR = 2.42, respectively) compare with GG and GC carriers. That is the first attempt to identify biomarkers of ICIs treatment efficacy for ccRCC in the Volga-Ural region based on exosomal miRNAs analysis.