To meet systemic metabolic needs, adipocytes release fatty acids and glycerol through the action of neutral lipases. Here, we describe a secondary pathway of lipid release from adipocytes that is independent of canonical lipolysis. We found that adipocytes release exosome-sized, lipid-filled vesicles (AdExos) that become a source of lipid for local macrophages. Adipose tissue from lean mice released ~1% of its lipid content per day via exosomes ex vivo, a rate that more than doubles in obese animals. AdExos and associated factors were sufficient to induce in vitro differentiation of bone marrow precursors into adipose tissue macrophage–like cells. Thus, AdExos are both an alternative pathway of local lipid release and a mechanism by which parenchymal cells can modulate tissue macrophage differentiation and function.