A possible explanation for chronic inflammation in HIV-infected individuals treated with anti-retroviral therapy is hyperreactivity of myeloid cells due to a phenomenon called "trained immunity." Here, we demonstrate that human monocyte-derived macrophages originating from monocytes initially treated with extracellular vesicles containing HIV-1 protein Nef (exNef), but differentiating in the absence of exNef, release increased levels of pro-inflammatory cytokines after lipopolysaccharide stimulation. This effect is associated with chromatin changes at the genes involved in inflammation and cholesterol metabolism pathways and upregulation of the lipid rafts and is blocked by methyl-β-cyclodextrin, statin, and an inhibitor of the lipid raft-associated receptor IGF1R. Bone-marrow-derived macrophages from exNef-injected mice, as well as from mice transplanted with bone marrow from exNef-injected animals, produce elevated levels of tumor necrosis factor α (TNF-α) upon stimulation. These phenomena are consistent with exNef-induced trained immunity that may contribute to persistent inflammation and associated co-morbidities in HIV-infected individuals with undetectable HIV load.